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Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven.
In: Finance Research Letters.
RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

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  4. Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra.
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  6. Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. (2023). Guo, Yangli ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian.
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  8. Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach. (2023). Moussa, Wajdi ; Bejaoui, Azza ; Mgadmi, Nidhal.
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  11. Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin. (2023). Hong, Yongmiao ; Wang, Shouyang ; Duan, Hongbo ; Sun, Yuying ; Zhang, Dingxuan.
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  18. Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David.
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  23. Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19?. (2022). Gupta, Rakesh ; Yan, Huqin.
    In: JRFM.
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    RePEc:eee:riibaf:v:62:y:2022:i:c:s027553192200112x.

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    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001409.

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  31. Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David.
    In: Journal of Economic Behavior & Organization.
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  32. Do financial volatilities mitigate the risk of cryptocurrency indexes?. (2022). Ghafoor, Abdul ; Karim, Sitara ; Lucey, Brian M ; Naeem, Muhammad Abubakr.
    In: Finance Research Letters.
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  33. Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach. (2022). Tan, Changchun ; Yang, Luyao ; Ke, Rui.
    In: Finance Research Letters.
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  34. Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk. (2022). Muller, Fernanda Maria ; Santos, Samuel Solgon ; Gossling, Thalles Weber ; Righi, Marcelo Brutti.
    In: Finance Research Letters.
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  35. Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model. (2022). Guo, Ranran ; Ye, Wuyi ; Gao, Lingbo.
    In: Finance Research Letters.
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  36. Bitcoin volatility predictability–The role of jumps and regimes. (2022). Li, Ziyang ; Ma, Feng ; Wang, Jiqian ; Qian, Lihua.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000162.

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  37. More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies. (2022). Pereira, Javier ; Jeong, Jiin ; Fung, Kennard.
    In: Finance Research Letters.
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    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4840-4855.

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  43. Market efficiency and volatility persistence of cryptocurrency during pre? and post?crash periods of Bitcoin: Evidence based on fractional integration. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Abu, Nuruddeen ; Mudida, Robert.
    In: International Journal of Finance & Economics.
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    In: Financial Innovation.
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    In: Eurasian Economic Review.
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  49. Testing for the Number of Regimes in Financial Time Series GARCH Volatility. (2021). Tahiri, Abdellah ; Mamode, Naushad Ali ; Bouzahir, Hassane ; Benaid, Brahim.
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  52. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Gkillas, Konstantinos.
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  53. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. (2021). Vuković, Darko ; Maiti, Moinak ; Frömmel, Michael ; Vukovic, Darko ; Frommel, Michael ; Grigorieva, Elena M ; Grubisic, Zoran.
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  54. A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A.
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  55. Does the Design of Stablecoins Impact Their Volatility?. (2021). Koodziejczyk, Hanna ; Jarno, Klaudia.
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  56. Understanding cryptocurrency volatility: The role of oil market shocks. (2021). Yin, Libo ; Han, Liyan ; Nie, Jing.
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  76. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie.
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  77. Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations. (2020). Younas, Zahid Irshad ; Meloni, Mirko ; Jeleskovic, Vahidin .
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  84. Will the Aviation Industry Have a Bright Future after the COVID-19 Outbreak? Evidence from Chinese Airport Shipping Sector. (2020). Ding, Jian ; Qiao, Ping ; Liu, Jingxuan ; Zhang, Haowei ; Ramanauskaite, Ieva ; Schiller, Edward M ; Harriman, Elodie H ; Hankinson, Luke.
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  37. Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process.. (2019). Ibrahim, Omar.
    In: MPRA Paper.
    RePEc:pra:mprapa:98091.

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  38. Threshold Mean Reversion and Regime Changes of Cryptocurrencies using SETAR-MSGARCH Models. (2019). ben Haj, Hayet ; Scalera, Francesco .
    In: International Journal of Academic Research in Accounting, Finance and Management Sciences.
    RePEc:hur:ijaraf:v:9:y:2019:i:3:p:221-229.

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  39. Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Liu, Li-Na ; Zhao, Lu-Tao ; Wang, Zi-Jie.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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  40. Bitcoin at High Frequency. (2019). Sandholdt, Mads ; Catania, Leopoldo.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:36-:d:206409.

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  41. A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading. (2019). De la Torre Torres, Oscar ; Alvarez-Garcia, Jose ; Galeana-Figueroa, Evaristo ; de la Torre-Torres, Oscar V.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2019:i:1:p:129-:d:302172.

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  42. Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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  43. Modeling volatility of precious metals markets by using regime-switching GARCH models. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Mubashra, Sana ; Naeem, Muhammad.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303022.

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  44. Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

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  45. Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos.
    In: MPRA Paper.
    RePEc:pra:mprapa:90781.

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  46. Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7167.

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