Dehua Shen

Tianjin University - College of Management and Economics

NO.92 Weijin Road

Nankai District

Tianjin, 300072

China

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Forecasting the Volatility of Bitcoin: The Importance of Jumps and Structural Breaks

European Financial Management, Forthcoming
Number of pages: 40 Posted: 17 Sep 2019 Last Revised: 15 Dec 2019
Dehua Shen, Andrew Urquhart and Pengfei Wang
Tianjin University - College of Management and Economics, ICMA Centre, Henley Business School and Tianjin University - College of Management and Economics
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Abstract:

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Volatility Forecasting, Bitcoin, Realized Volatility, Jumps, Structural Breaks