Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalised cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with constant and time-varying volatility, such as stochastic vol...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-09-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/12/3/150 |