Time series models for crypto-asset returns – Complete Phd and Masters Thesis

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Introduction
Cryptocurrencies have gained significant popularity in recent years, attracting the attention of investors, regulators, and researchers alike. With the rise of cryptocurrencies, the need for accurate forecasting models to understand and predict their returns has become crucial. Time series analysis offers a powerful tool to analyze and model the behavior of crypto-asset returns over time. This thesis aims to explore different time series models for forecasting crypto-asset returns and provide insights into their effectiveness and limitations.

1.1 Introduction
1.2 Background of the study
1.3 Problem Statement
1.4 Objective of the study
1.5 Limitation of the study
1.6 Scope of the study
1.7 Significance of the study
1.8 Structure of the Thesis
1.9 Definition of terms

Chapter 2: Literature Review
2.1 Overview of cryptocurrencies and crypto-asset returns
2.2 Time series analysis in finance
2.3 Traditional time series models for financial assets
2.4 Recent advancements in time series forecasting for cryptocurrencies
2.5 Comparison of different time series models for crypto-asset returns
2.6 Empirical studies on forecasting crypto-asset returns
2.7 Challenges and limitations of existing literature
2.8 Gaps in the literature
2.9 Theoretical framework for time series modeling in cryptocurrencies
2.10 Summary of key findings in the literature

Chapter 3: Research Methodology
3.1 Data collection and preprocessing
3.2 Model selection criteria
3.3 Model estimation and evaluation
3.4 Performance metrics for evaluating time series models
3.5 Comparison of forecasting accuracy
3.6 Robustness and sensitivity analysis
3.7 Testing for model stability over time
3.8 Ethical considerations in conducting research on cryptocurrencies

Chapter 4: Discussion of Findings
4.1 Descriptive analysis of crypto-asset returns
4.2 Effectiveness of different time series models in forecasting crypto-asset returns
4.3 Comparative analysis of forecasting accuracy
4.4 Robustness and stability of time series models
4.5 Implications for investors and policymakers
4.6 Future research directions
4.7 Recommendations for improving forecasting models
4.8 Practical implications for applying time series models in the crypto market

Chapter 5: Conclusion and Summary
5.1 Summary of key findings
5.2 Contributions to the existing literature
5.3 Implications for practice and policy
5.4 Limitations of the study
5.5 Directions for future research

Thesis Overview

The volatile nature of cryptocurrency markets has attracted significant interest from investors, researchers, and regulators seeking to understand and predict crypto-asset returns. Time series analysis offers a powerful framework for modeling and forecasting the behavior of crypto-asset prices over time. This thesis aims to explore different time series models for analyzing and forecasting crypto-asset returns, with a focus on their effectiveness, limitations, and practical implications.

The literature review provides an overview of existing research on cryptocurrencies, time series analysis in finance, and traditional forecasting models for financial assets. It also discusses recent advancements in time series forecasting for cryptocurrencies, highlighting gaps in the literature and laying the theoretical foundation for modeling crypto-asset returns.

The research methodology outlines the data collection process, model selection criteria, and performance metrics used to evaluate the forecasting accuracy of different time series models. It also discusses ethical considerations in conducting research on cryptocurrencies and testing for model stability over time.

The discussion of findings presents descriptive analysis of crypto-asset returns, comparative analysis of forecasting accuracy, and implications for investors and policymakers. It also explores the robustness and stability of time series models, offering recommendations for improving forecasting models and future research directions.

In conclusion, this thesis contributes to the existing literature by providing insights into the effectiveness of time series models for forecasting crypto-asset returns. It offers practical implications for investors and policymakers and suggests avenues for further research in this rapidly evolving field.

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