• Media type: E-Article
  • Title: Is Bitcoin a relevant predictor of standard & poor's 500?
  • Contributor: Muglia, Camilla [Author]; Santabarbara, Luca [Author]; Grassi, Stefano [Author]
  • imprint: Basel: MDPI, 2019
  • Language: English
  • DOI: https://doi.org/10.3390/jrfm12020093
  • ISSN: 1911-8074
  • Keywords: Bitcoin ; forecasting ; dynamic model averaging ; forgetting factors ; density forecast ; dynamic model selection ; point forecast ; cryptocurrency
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  • Description: 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.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)