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Enhancing Bitcoin Tail Risk Estimation: Integrating Adaptive Lasso with Caviar Framework

https://doi.org/10.2139/ssrn.4751089
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The mutual predictability of Bitcoin and web search dynamics
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Decarbonizing Bitcoin: Law and policy choices for reducing the energy consumption of Blockchain technologies and digital currencies
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Bitcoin mining: A global review of energy and power demand
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The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test
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The relationship between the economic policy uncertainty and the cryptocurrency market
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Economic policy uncertainty and cryptocurrency volatility
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How effective is China's cryptocurrency trading ban?
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Penalized estimation of panel vector autoregressive models: A panel LASSO approach
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Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears
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Dynamic connectedness and integration in cryptocurrency markets
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Accounting for income inequality in rural China: a regression-based approach
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Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
inferredcites →https://doi.org/10.1016/j.jeconom.2021.02.002openalex-extracted
On LASSO for predictive regression
inferredcites →https://doi.org/10.1016/j.jempfin.2018.11.002openalex-extracted
Conditional Tail-Risk in Cryptocurrency Markets
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.010openalex-extracted
Tail risk premia and return predictability
inferredcites →https://doi.org/10.1016/j.physa.2018.08.051openalex-extracted
Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets
inferredcites →https://doi.org/10.1016/j.physa.2018.09.063openalex-extracted
Bitcoin and investor sentiment: Statistical characteristics and predictability
inferredcites →https://doi.org/10.1080/02664763.2017.1315059openalex-extracted
Bayesian quantile regression for ordinal longitudinal data
inferredcites →https://doi.org/10.1080/07350015.2021.1899933openalex-extracted
Machine Learning Time Series Regressions With an Application to Nowcasting
inferredcites →https://doi.org/10.1080/10242694.2020.1848285openalex-extracted
Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
inferredcites →https://doi.org/10.1080/15427560.2021.1950723openalex-extracted
Does Sentiment Impact Cryptocurrency?
inferredcites →https://doi.org/10.1093/rof/rfu010openalex-extracted
Financial Network Systemic Risk Contributions
inferredcites →https://doi.org/10.1109/tnn.2003.809398openalex-extracted
The Generalized LASSO
inferredcites →https://doi.org/10.1111/j.1467-9868.2011.00771.xopenalex-extracted
Regression Shrinkage and Selection via The Lasso: A Retrospective
inferredcites →https://doi.org/10.1198/016214506000000735openalex-extracted
The Adaptive Lasso and Its Oracle Properties
inferredcites →https://doi.org/10.1198/073500104000000370openalex-extracted
CAViaR
inferredcites →https://doi.org/10.1214/10-aos827openalex-extracted
ℓ1-penalized quantile regression in high-dimensional sparse models
inferredcites →https://doi.org/10.1214/19-ba1156openalex-extracted
Dynamic Quantile Linear Models: A Bayesian Approach
inferredcites →https://doi.org/10.2139/ssrn.3313866openalex-extracted
Media Attention and Bitcoin Prices
inferredcites →https://doi.org/10.2139/ssrn.3342842openalex-extracted
Do Fundamentals Drive Cryptocurrency Prices?
inferredcites →https://doi.org/10.2307/1913643openalex-extracted
Regression Quantiles
inferredcites →https://doi.org/10.2307/2527341openalex-extracted
Evaluating Interval Forecasts
inferredcites →https://doi.org/10.3390/math8081245openalex-extracted
Deep Learning Methods for Modeling Bitcoin Price
inferredcites →https://doi.org/10.48550/arxiv.0904.2931openalex-extracted
L1-Penalized Quantile Regression in High-Dimensional Sparse Models
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