EconPapers    
Economics at your fingertips  
 

Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies

Yue Qiu, Yifan Wang and Tian Xie

Economics Letters, 2021, vol. 208, issue C

Abstract: This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power and significantly improve the performance for short-term forecasts.

Keywords: Bitcoin; Volatility forecasting; Heterogeneous autoregression; Common correlated effect (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176521003694
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003694

DOI: 10.1016/j.econlet.2021.110092

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003694