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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
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DOI: 10.1016/j.econlet.2021.110092

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