Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2017
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after …