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The effects of markets, uncertainty and search intensity on bitcoin returns
Panagiōtidēs, Theodōros; Stengos, Thanasēs; … - In: International review of financial analysis 63 (2019), pp. 220-242
Persistent link: https://www.econbiz.de/10012207452
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Electronic transactions as high-frequency indicators of economic activity
Galbraith, John W. (contributor); Tkacz, Greg (contributor) - 2007
Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. However, technological advances of the past several years have resulted...
Persistent link: https://www.econbiz.de/10003641311
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Long- and short-term cryptocurrency volatility components : a GARCH-MIDAS analysis
Conrad, Christian; Custovic, Anessa; Ghysels, Eric - In: Journal of risk and financial management : JRFM 11 (2018) 2
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As … potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure … of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on …
Persistent link: https://www.econbiz.de/10011856965
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The economics of bitcoins : market characteristics and price jumps
Gronwald, Marc - 2014
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...
Persistent link: https://www.econbiz.de/10010464707
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What drives bitcoin volatility?
Byström, Hans N. E.; Krygier, Dominika - 2018
Persistent link: https://www.econbiz.de/10011915484
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Lead-Lag relationship between Bitcoin and Ethereum : evidence from hourly and daily data
Imtiaz Mohammad Sifat; Azhar Mohamad; Mohamed Shariff, … - In: Research in international business and finance 50 (2019), pp. 306-321
Persistent link: https://www.econbiz.de/10012177672
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The economic value of Bitcoin : a portfolio analysis of currencies, gold, oil and stocks
Symitsi, Efthymia; Chalvatzis, Konstantinos J. - In: Research in international business and finance 48 (2019), pp. 97-110
Persistent link: https://www.econbiz.de/10012135851
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Safe-haven or speculation? : Research on price and risk dynamics of Bitcoin
Liu, Xin; Li, Bowen - In: Applied economics letters 31 (2024) 4, pp. 281-287
Persistent link: https://www.econbiz.de/10014468773
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Bitcoin and web search query dynamics : is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012026340
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What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?
Jalan, Akanksha; Matkovskyy, Roman; Urquhart, Andrew - In: The European journal of finance 27 (2021) 13, pp. 1251-1281
Persistent link: https://www.econbiz.de/10012653090