Infectious diseases-related uncertainty and the predictability of foreign exchange and Bitcoin futures realized volatility
| dc.contributor.author | Shiba, Sisa | |
| dc.contributor.author | Cunado, Juncal | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Goswami, Samrat | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2023-11-15T04:47:29Z | |
| dc.date.available | 2023-11-15T04:47:29Z | |
| dc.date.issued | 2023-06 | |
| dc.description.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. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2023 | en_US |
| dc.description.sdg | SDG-08:Decent work and economic growth | en_US |
| dc.description.uri | https://www.worldscientific.com/worldscinet/afe | en_US |
| dc.identifier.citation | Shiba, S., Cunado, J., Gupta, R. et al. 2023, 'Infectious diseases-related uncertainty and the predictability of foreign exchange and Bitcoin futures realized volatility', Annals of Financial Economics, vol. 18, no. 2, art. 2230001, doi : 10.1142/S2010495222300010. | en_US |
| dc.identifier.issn | 2010-4952 (print) | |
| dc.identifier.issn | 2010-4960 (online) | |
| dc.identifier.other | 10.1142/S2010495222300010 | |
| dc.identifier.uri | http://hdl.handle.net/2263/93305 | |
| dc.language.iso | en | en_US |
| dc.publisher | World Scientific Publishing | en_US |
| dc.rights | © 2023 World Scientific Publishing Co Pte Ltd. | en_US |
| dc.subject | Infectious diseases-related uncertainty | en_US |
| dc.subject | Foreign exchange market | en_US |
| dc.subject | Bitcoin | en_US |
| dc.subject | Realized volatility forecast | en_US |
| dc.subject | Forecasting | en_US |
| dc.subject | SDG-08: Decent work and economic growth | en_US |
| dc.title | Infectious diseases-related uncertainty and the predictability of foreign exchange and Bitcoin futures realized volatility | en_US |
| dc.type | Postprint Article | en_US |