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Regime-dependent good and bad volatility of Bitcoin
Jha, Kislay Kumar; Baur, Dirk G. - In: Journal of risk and financial management : JRFM 13 (2020) 12/312, pp. 1-16
This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility …
Persistent link: https://www.econbiz.de/10012392557
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On the volatility of cryptocurrencies
Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022
Persistent link: https://www.econbiz.de/10012938838
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The price of Bitcoin : GARCH evidence from high-frequency data
Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - In: The journal of investment strategies 9 (2020) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012598972
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Bitcoin returns and risk : a general GARCH and GAS analysis
Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193
Persistent link: https://www.econbiz.de/10012420417
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The price of BitCoin : GARCH evidence from high frequency data
Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2018
This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional … Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and …, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically …
Persistent link: https://www.econbiz.de/10011948479
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Modelling the dynamics of Bitcoin and Litecoin : GARCH versus stochastic volatility models
Tiwari, Aviral Kumar; Kumar, Satish; Pathak, Rajesh - In: Applied economics 51 (2019) 37, pp. 4073-4082
Persistent link: https://www.econbiz.de/10012196960
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The destabilising effects of cryptocurrency cybercriminality
Corbet, Shaen; Cumming, Douglas J.; Lucey, Brian M.; … - In: Economics letters 191 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012507992
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Spillovers between Bitcoin and Meme stocks
Li, Shi - In: Finance research letters 50 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014239953
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Forecasting volatility of Bitcoin
Bergsli, Lykke Øverland; Lind, Andrea Falk; Molnár, Peter - In: Research in international business and finance 59 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013402137
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Exploring the relationship between digital trails of social signals and bitcoin returns
Yelkenci, Tezer; Yelkenci, Birce Dobrucalı; Vardar, Gülin - In: Studies in economics and finance 41 (2024) 1, pp. 125-147
Persistent link: https://www.econbiz.de/10014467192