Muglia, Camilla; Santabarbara, Luca; Grassi, Stefano - In: Journal of risk and financial management : JRFM 12 (2019) 2/93, pp. 1-10
we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic … Model Selection (DMS). According to our results, Bitcoin does not show any direct impact on the predictability of Standard …