Description
This repository contains data collected from the bitcoin options exchange Deribit and the R codes used in the following paper:
Lai T. Hoang, Dirk G. Baur, 2020, Forecasting Bitcoin Volatility: Evidence from the Options Market.
Lai T. Hoang, Dirk G. Baur, 2020, Forecasting Bitcoin Volatility: Evidence from the Options Market.
Date made available | 30 Apr 2020 |
---|---|
Publisher | The University of Western Australia |
Date of data production | 12 Feb 2020 |
Keywords
- bitcoin options
- Deribit
- bitcoin
- implied volatility
- volatility forecasting