Formicola, Giovanni (A.A. 2020/2021) Forecasting volatility of Bitcoin. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 59. [Master's Degree Thesis]

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Abstract/Index

Theoretical framework. What is volatility. Estimating volatility. Bitcoin's volatility: preliminary analysis. Volatility of cryptocurrencies. About data. Computing realized variance and BiPower variation. Threshold BiPower variation. Positive and negative returns. Estimators statistics. Jump statistics. Bitcoin's volatility: models and forecasts. Building HAR's estimators. Full-sample fitting. Forecasts. Realized utility.

References

Sitografia e bibliografia: pp. 56-58.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Empirical finance
Thesis Supervisor:	Santucci de Magistris, Paolo
Thesis Co-Supervisor:	Proietti, Tommaso
Academic Year:	2020/2021
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	24 Mar 2022 09:48
Last Modified:	24 Mar 2022 09:48
URI:	https://tesi.luiss.it/id/eprint/31825

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