Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?
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DOI: 10.1007/s10479-021-04116-x
Abstract: This study aims to examine the issue of cryptocurrency volatility modelling and forecasting based on high-frequency data. More specifically, this study assesses whether crisis periods, particularly the coronavirus disease pandemic, influence the dynamic of cryptocurrency… read more here.
Keywords: volatility; cryptocurrency volatility; volatility forecasting; cryptocurrency ... See more keywords