This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and consider … the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …

cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts … and a net receiver during booms. Analysis of the timing of bubble and crash periods uncovers the presence of … interdependence and contagion effects. There is only limited evidence for asset rotation, and it involves mostly Ripple. Bubbles in …

This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a … users if they anticipate in increase in transactional demand per coin. Investors in a bubble equilibrium hold the … bubble equilibrium for a cryptocurrency with non-negative money growth experience Ponzi-scheme equivalent payoffs in the …