Status: Bibliographieeintrag
Standort: ---
Exemplare:
---
| |  Online-Ressource |
|---|
| Verfasst von: | Conrad, Christian [VerfasserIn]  |
|---|
| | Custovic, Anessa [VerfasserIn] |
|---|
| | Ghysels, Eric [VerfasserIn] |
|---|
| Titel: | Long- and short-term cryptocurrency volatility components |
|---|
| Titelzusatz: | a GARCH-MIDAS analysis |
|---|
| Verf.angabe: | Christian Conrad, Anessa Custovic and Eric Ghysels |
|---|
| E-Jahr: | 2018 |
|---|
| Jahr: | 10 May 2018 |
|---|
| Umfang: | 12 S. |
|---|
| Fussnoten: | Published: 10 May 2018 ; This article belongs to the Special Issue Alternative Assets and Cryptocurrencies ; Gesehen am 17.04.2019 |
|---|
| Titel Quelle: | Enthalten in: Journal of risk and financial management |
|---|
| Ort Quelle: | Basel : MDPI, 2008 |
|---|
| Jahr Quelle: | 2018 |
|---|
| Band/Heft Quelle: | 11(2018,2) Artikel-Nummer 23, 12 Seiten |
|---|
| ISSN Quelle: | 1911-8074 |
|---|
| Abstract: | We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on long-term Bitcoin volatility. The finding is atypical for volatility co-movements across financial markets. Moreover, we find that the S&P 500 volatility risk premium has a significantly positive effect on long-term Bitcoin volatility. Finally, we find a strong positive association between the Baltic dry index and long-term Bitcoin volatility. This result shows that Bitcoin volatility is closely linked to global economic activity. Overall, our findings can be used to construct improved forecasts of long-term Bitcoin volatility. |
|---|
| DOI: | doi:10.3390/jrfm11020023 |
|---|
| URL: | Bitte beachten Sie: Dies ist ein Bibliographieeintrag. Ein Volltextzugriff für Mitglieder der Universität besteht hier nur, falls für die entsprechende Zeitschrift/den entsprechenden Sammelband ein Abonnement besteht oder es sich um einen OpenAccess-Titel handelt.
kostenfrei: Volltext: https://doi.org/10.3390/jrfm11020023 |
|---|
| | kostenfrei: Volltext: http://www.mdpi.com/1911-8074/11/2/23/pdf |
|---|
| | kostenfrei: Resolving-System: http://hdl.handle.net/10419/238870 |
|---|
| | 46: http://creativecommons.org/licenses/by/4.0/ |
|---|
| | DOI: https://doi.org/10.3390/jrfm11020023 |
|---|
| | 10419/238870 |
|---|
| Datenträger: | Online-Ressource |
|---|
| Sprache: | eng |
|---|
| Sach-SW: | Baltic dry index |
|---|
| | Bitcoin volatility |
|---|
| | digital currency |
|---|
| | GARCH-MIDAS |
|---|
| | pro-cyclical volatility |
|---|
| | volume |
|---|
| | Baltic dry index |
|---|
| | Bitcoin volatility |
|---|
| | digital currency |
|---|
| | GARCH-MIDAS |
|---|
| | pro-cyclical volatility |
|---|
| | volume |
|---|
| Form-SW: | Aufsatz in Zeitschrift |
|---|
| K10plus-PPN: | 1024282538 |
|---|
| Verknüpfungen: | → Zeitschrift |
|---|
Long- and short-term cryptocurrency volatility components / Conrad, Christian [VerfasserIn]; 10 May 2018 (Online-Ressource)
68380961
