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Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?

Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy
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J. Risk Financial Manag. 2019, 12(2), 93; https://doi.org/10.3390/jrfm12020093
Received: 14 May 2019 / Revised: 14 May 2019 / Accepted: 17 May 2019 / Published: 31 May 2019
(This article belongs to the Special Issue Bayesian Econometrics)
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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. View Full-Text
Keywords: cryptocurrency; Bitcoin; forecasting; point forecast; density forecast; dynamic model averaging; dynamic model selection; forgetting factors cryptocurrency; Bitcoin; forecasting; point forecast; density forecast; dynamic model averaging; dynamic model selection; forgetting factors
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Muglia, C.; Santabarbara, L.; Grassi, S. Is Bitcoin a Relevant Predictor of Standard & Poor’s 500? J. Risk Financial Manag. 2019, 12, 93.

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