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Analysis of cryptocurrency jumps with post-double-selection HAR-J Models
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Autores
Orientador(es)
Resumo(s)
Using a novel PDS-HAR-J approach, and nonparametrically-estimated jumps and volatility series are derived from financial diffusion processes, I find evidence that cryptocurrency markets exhibit price jumps which are followed by decreased volatility. The results are an important motivation for future option-pricing model development to include jumps and for future applications of honest inference for HAR-type models.
Descrição
Mestrado Bolonha em Econometria Aplicada e Previsão
Palavras-chave
Contexto Educativo
Citação
Couto, David do (2023). “Analysis of cryptocurrency jumps with post-double-selection HAR-J Models”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão