Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238964 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-10
Publisher: 
MDPI, Basel
Abstract: 
The paper investigates whether Bitcoin is a good predictor of the Standard & Poor's 500 Index. To answer this question 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 & Poor's 500 for the considered sample.
Subjects: 
cryptocurrency
Bitcoin
forecasting
point forecast
density forecast
dynamic model averaging
dynamic model selection
forgetting factors
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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