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A principal component-guided sparse regression approach for the determination of bitcoin returns

Panagiōtidēs, Theodōros; Stengos, Thanasēs; … - In: Journal of risk and financial management : JRFM 13 (2020) 2/33, pp. 1-10

We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010-2018 (2872 daily … uncertainty and stock market volatility are among the most important variables for bitcoin. We also trace strong evidence of … bubbly bitcoin behavior in the 2017-2018 period. …

Persistent link: https://www.econbiz.de/10012173752

A principal component-guided sparse regression approach for the determination of bitcoin returns

Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2020

Persistent link: https://www.econbiz.de/10012152311

Cryptocurrencies, diversification and the COVID-19 pandemic

Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum …

Persistent link: https://www.econbiz.de/10013161685

Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22

volatility of four widely traded cryptocurrencies, i.e., Bitcoin, Ethereum, Litecoin, and Ripple, by modeling volatility to …

Persistent link: https://www.econbiz.de/10013368338

Nonlinearities and tests of asset price bubbles

Arora, Vipin; Shi, Shuping - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1421-1433

Persistent link: https://www.econbiz.de/10011481717

Exchange rate variability : a case of non-linear rational expectations?

Wilson, Edgar J. - 1990

Persistent link: https://www.econbiz.de/10000829902

Looking for rational exchange rate bubbles

Kirikos, Dimitris G. - In: Spudai / University of Piraeus : journal of economics … 41 (1991) 4, pp. 390-407

Persistent link: https://www.econbiz.de/10001158058

Bubbles, fundamentals, and investment : a multiple equation testing strategy

Chirinko, Robert S. - In: Journal of monetary economics 38 (1996) 1, pp. 47-76

Persistent link: https://www.econbiz.de/10001207449

Misspecification versus bubbles in the stock market : the case for time-varying discount rates

Chen, Lii-tarn - In: Jingji-lunwen 25 (1997) 4, pp. 427-461

Persistent link: https://www.econbiz.de/10001243777

Empirical studies on the recent decline in bank lending growth : an approach based on asymmetric information

Baba, Naohiko - 1996

Persistent link: https://www.econbiz.de/10000927960

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