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The Detection of Asset Price Bubbles in the Cryptocurrency Markets with an Application to Risk Management and the Measurement of Model Risk
Jacobs, Michael - 2023
This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con …-siders 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 …
Persistent link: https://www.econbiz.de/10014255132
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Feedback Trading and Bubbles
Han, Brandon Yueyang; Makarov, Igor - 2021
The paper develops a model of bubbles that can be taken to the data and explain the behavior of asset prices and their …
Persistent link: https://www.econbiz.de/10014089226
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Bubbles and crashes in cryptocurrencies : interdependence, contagion, or asset rotation?
Chowdhury, Md Shahedur R.; Damianov, Damian S.; … - In: Finance research letters 46 (2022) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10013342758
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Technical analysis in cryptocurrency markets : do transaction costs and bubbles matter?
Svogun, Daniel; Bazán-Palomino, Walter - In: Journal of international financial markets, … 79 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013358720
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Fundamentalists in the cryptocurrency markets
Cheng, Po-Keng; Lin, Chinho - In: Applied economics letters 31 (2024) 6, pp. 535-544
Persistent link: https://www.econbiz.de/10014470509
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The Detection of Asset Price Bubbles in the Cryptocurrency Markets with an Application to Risk Management and the Measurement of Model Risk
Jacobs, Michael - 2023
This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con …-siders 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 …
Persistent link: https://www.econbiz.de/10014351326
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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 - 2023
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger … 2021 crypto bubble event. …
Persistent link: https://www.econbiz.de/10014234393
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Crypto investing : a new frontier of gambling and addiction?
Nemlioglu, Ilayda; Ding, Wenjie; Wang, Qingwei - In: Advances in blockchain research and cryptocurrency behaviour, (pp. 53-65). 2024
Persistent link: https://www.econbiz.de/10015417759
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Regime Heteroskedasticity in Bitcoin : A Comparison of Markov Switching Models
Chappell, Daniel - 2018
In response to Molnár and Thies (2018) demonstrating that the price data of Bitcoin contained structural breaks, we … Bitcoin. We determined that the restricted 5-state MRS model provided the best goodness-of-fit scores (-AIC, -BIC, -HQIC) for … the fitted sample. In addition, we found evidence of stylised characteristics in the price data of Bitcoin, namely …
Persistent link: https://www.econbiz.de/10012907471
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Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models
Trucíos, Carlos; Taylor, James W. - 2021
Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...
Persistent link: https://www.econbiz.de/10013242299