Forecast Bitcoin Volatility with Least Squares Model Averaging
In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto exchange—Binance. Given the unique features of the crypto asset market, we find that conventional regression models exhibit strong model specification uncertainty. To circum...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-09-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/7/3/40 |