Similar Search Results

Bitcoin's innovative aspects, return volatility and uncertainty shocks

Frascaroli, Bruno Ferreira - In: International Journal of Financial Markets and … 7 (2020) 3, pp. 224-245

Persistent link: https://www.econbiz.de/10012510290

The price of Bitcoin : GARCH evidence from high-frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - In: The journal of investment strategies 9 (2020) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012598972

Regime changes in Bitcoin GARCH volatility dynamics

Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271

Persistent link: https://www.econbiz.de/10012419095

Bitcoin returns and risk : a general GARCH and GAS analysis

Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193

Persistent link: https://www.econbiz.de/10012420417

Volatility co-movement between Bitcoin and Ether

Katsiampa, Paraskevi - In: Finance research letters 30 (2019), pp. 221-227

Persistent link: https://www.econbiz.de/10012420499

GARCH generated volatility indices of Bitcoin and CRIX

Venter, Pierre J.; Maré, E. - In: Journal of risk and financial management : JRFM 13 (2020) 6/121, pp. 1-15

pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of …

Persistent link: https://www.econbiz.de/10012309013

Exogenous drivers of Bitcoin and Cryptocurrency volatility : a mixed data sampling approach to forecasting

Walther, Thomas; Klein, Tony; Bouri, Elie - In: Journal of international financial markets, … 63 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012263290

Asymmetric volatility in cryptocurrencies

Baur, Dirk G.; Dimpfl, Thomas - In: Economics letters 173 (2018), pp. 148-151

Persistent link: https://www.econbiz.de/10012022970

The price of BitCoin : GARCH evidence from high frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2018

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 …

Persistent link: https://www.econbiz.de/10011948479

Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally different properties as assets and linkages to …Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold … variance properties of Bitcoin and Gold as well as other assets and nd differences in their structure. Secondly, we implement a …

Persistent link: https://www.econbiz.de/10011906446