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Booms, busts and heavy-tails : the story of Bitcoin and cryptocurrency markets?
Fry, John - In: Economics letters 171 (2018), pp. 225-229
Persistent link: https://www.econbiz.de/10012021804
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Negative bubbles and shocks in cryptocurrency markets
Fry, John; Cheah, Eng-Tuck - In: International review of financial analysis 47 (2016), pp. 343-352
Persistent link: https://www.econbiz.de/10011624259
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Speculative bubbles in Bitcoin markets? : an empirical investigation into the fundamental value of Bitcoin
Cheah, Eng-Tuck; Fry, John - In: Economics letters 130 (2015), pp. 32-36
Persistent link: https://www.econbiz.de/10011422365
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The side effects of safe asset creation
Acharya, Sushant; Dogra, Keshav - 2018
investment, but allow for harmful bubbles. Aggressive fiscal policy can prevent bubbles. …
Persistent link: https://www.econbiz.de/10011806268
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Another look at cryptocurrency bubbles
Gronwald, Marc - 2019
bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the … presence of cryptocurrency bubbles or the fundamental value of cryptocurrencies is needless. Second, the paper conducts a short …
Persistent link: https://www.econbiz.de/10012033146
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Stationary threshold vector autoregressive models
Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647
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Are There Rational Bubbles in the US Stock Market? Overview and a New Test
Bhar, Ramaprasad; Malliaris, A. (Tassos) G. - 2008
value. Although there are several important theoretical issues surrounding the topic of asset bubbles, the existence of … bubbles is inherently an empirical issue that has not been settled yet. This paper reviews several important tests and offers …
Persistent link: https://www.econbiz.de/10014047907
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Boom, bust, and Bitcoin : Bitcoin-bubbles as innovation accelerators
Huber, Tobias; Sornette, Didier - In: Journal of economic issues 56 (2022) 1, pp. 113-136
Persistent link: https://www.econbiz.de/10013252492
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Sentiment-induced bubbles in the cryptocurrency market
Chen, Yi-Hsuan; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 12 (2019) 2/53, pp. 1-12
Cryptocurrencies lack clear measures of fundamental values and are often associated with speculative bubbles. This … paper introduces a new way of testing for speculative bubbles based on StockTwits sentiment, which is used as the transition …
Persistent link: https://www.econbiz.de/10012022233
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Testing for bubbles in cryptocurrencies with timevarying volatility
Hafner, Christian M. - 2018
Persistent link: https://www.econbiz.de/10011993271