This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility … asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a … stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all …

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the … "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed …

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional … Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and …, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically …

This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in … investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock … Exchange Index. Additionally bitcoin can be used as a hedge against the American dollar in the short-term. Bitcoin thereby …