Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence...

Bitcoin has received much investor attention in recent years, however, there remains a lot of scepticism and lack of understanding of this cryptocurrency. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest...

In this paper, we forecast Bitcoin's returns and return jumps using a self-exciting process embedded in a stochastic volatility model. We show the existence of the jump clustering feature, which varies depending on the frequency of the data. In an out-of-sample setting, we use a particle filter...