Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty
文献类型：期刊论文
| 作者 | Qiu, Yue6; Wang, Zongrun5; Xie, Tian4; Zhang, Xinyu1,2,3 |
| 刊名 | JOURNAL OF EMPIRICAL FINANCE
 |
| 出版日期 | 2021-06-01 |
| 卷号 | 62页码:179-201 |
| 关键词 | HARQ Model averaging & nbsp Bitcoin Realized volatility |
| ISSN号 | 0927-5398 |
| DOI | 10.1016/j.jempfin.2021.03.003 |
| 英文摘要 | Modeling Bitcoin realized volatility by the heterogeneous autoregressive model is subject to substantial model specification uncertainty in practice. To circumvent the lag specification uncertainty, we introduce a new model averaging coefficient estimator with the mean squared error of the coefficient to be minimized. We show that the averaged coefficient vector has a root -n consistency with n being the sample size and propose using a double bootstrap to provide inference. Monte Carlo simulation results demonstrate reliability of the proposed method. The in-sample application shows that adjustment for measurement errors by HARQ-type models is necessary. The model averaging estimator has higher in-sample explanatory power with more significant predictors. The out-of-sample outcomes reveal that the forecast horizon plays a key role at determining the effectiveness of signed realized variance for predicting the Bitcoin volatility. Finally, the model averaging HARQ-type models demonstrate superior out-of-sample performance for both short and long forecast horizons. |
| 资助项目 | National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[72091212] ; National Natural Science Foundation of China[72003122] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[71701175] ; Chinese Ministry of Education Project of Humanities and Social Sciences, China[17YJC790174] ; Fundamental Research Funds for the Central Universities, China |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000656796300011 |
| 出版者 | ELSEVIER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/58788]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhang, Xinyu |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Univ Sci & Technol China, Int Inst Finance, Hefei, Peoples R China 3.Univ Sci & Technol China, Sch Management, Hefei, Peoples R China 4.Shanghai Univ Finance & Econ, Coll Business, Shanghai, Peoples R China 5.Cent South Univ, Sch Business, Changsha, Peoples R China 6.Shanghai Univ Int Business & Econ, Sch Finance, Shanghai, Peoples R China |
| 推荐引用方式 GB/T 7714 | Qiu, Yue,Wang, Zongrun,Xie, Tian,et al. Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty[J]. JOURNAL OF EMPIRICAL FINANCE,2021,62:179-201. |
| APA | Qiu, Yue,Wang, Zongrun,Xie, Tian,&Zhang, Xinyu.(2021).Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty.JOURNAL OF EMPIRICAL FINANCE,62,179-201. |
| MLA | Qiu, Yue,et al."Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty".JOURNAL OF EMPIRICAL FINANCE 62(2021):179-201. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。