Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies
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DOI: 10.1177/21582440231151652
Abstract: After Bitcoin futures were introduced by the Chicago Mercantile Exchange in December 2017, their trading volume has stayed in an uptrend due to speculation, though the scale is still small compared to other traditional futures.… read more here.
Keywords: investment hedging; two step; bitcoin futures; bitcoin ... See more keywords
Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?
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DOI: 10.3389/fpubh.2021.704900
Abstract: The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures. Specifically, we adopt the vector autoregression-dynamic correlation coefficient-generalized… read more here.
Keywords: bitcoin futures; spot; market; bitcoin ... See more keywords