In this paper we test for regime changes in the price dynamics of Bitcoin, Ethereum, Litecoin and Monero, as representatives of the cryptocurrencies asset class. Data are observed daily from January, 1, 2016 to October, 15, 2019. Best specifications within Gaussian and Autoregressive Hidden...

In this paper we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to...