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Outliers and time-varying jumps in the cryptocurrency markets
Dutta, Anupam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-7
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin … instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in …
Persistent link: https://www.econbiz.de/10013163949
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The mutual predictability of Bitcoin and web search dynamics
Süssmuth, Bernd - In: Journal of forecasting 41 (2022) 3, pp. 435-454
Persistent link: https://www.econbiz.de/10013166153
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Bitcoin price and its marginal cost of production : support for a fundamental value
Hayes, Adam S. - In: Applied economics letters 26 (2019) 7, pp. 554-560
Persistent link: https://www.econbiz.de/10012204274
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Explosive behavior in the prices of Bitcoin and altcoins
Cagli, Efe Çaglar - In: Finance research letters 29 (2019), pp. 398-403
Persistent link: https://www.econbiz.de/10012419534
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Bitcoin bubble trouble
Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
(and rally) discrete jump distributions associated with positive (and negative) bubbles. The RE condition implies that the …
Persistent link: https://www.econbiz.de/10011899594
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Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model
Cermak, Vavrinec - 2017
volatility. A GARCH (1,1) model is used to analyze Bitcoin's volatility in respect to the macroeconomic variables of countries …
Persistent link: https://www.econbiz.de/10012957332
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Bitcoin and liquidity risk diversification
Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819160
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Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger …
Persistent link: https://www.econbiz.de/10014234393
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Blockchain, Bitcoin and Stigmergy : An Explanation and a New Perspective for Regulation
Capaccioli, Stefano - 2020
”. This innovative model can be useful to obtain a new framework that accounts for the different dynamics of cryptocurrencies …
Persistent link: https://www.econbiz.de/10012828938
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Price dynamics and speculative trading in Bitcoin
Blau, Benjamin - In: Research in international business and finance 43 (2018), pp. 15-21
Persistent link: https://www.econbiz.de/10011982912