Bouri, Elie; Gkillas, Konstantinos; Gupta, Rangan; Pierdzioch, Christian
(Springer, 2021-01)
We analyze the role of the US–China trade war in forecasting out-of-sample daily realized volatility of Bitcoin returns. We study intraday data spanning from 1st July 2017 to 30th June 2019. We use the heterogeneous ...