Dutta, Anupam; Bouri, Elie - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-7
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin …, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns … are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index …