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- W4306403649 abstract "This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realized volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realized variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realized volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases." @default.
- W4306403649 created "2022-10-17" @default.
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- W4306403649 date "2022-10-15" @default.
- W4306403649 modified "2023-09-25" @default.
- W4306403649 title "INFECTIOUS DISEASES-RELATED UNCERTAINTY AND THE PREDICTABILITY OF FOREIGN EXCHANGE AND BITCOIN FUTURES REALIZED VOLATILITY" @default.
- W4306403649 doi "https://doi.org/10.1142/s2010495222300010" @default.
- W4306403649 hasPublicationYear "2022" @default.
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