Does market attention affect bitcoin returns and volatility?
DOI10.1007/S10203-019-00258-7zbMATH Open1431.62474OpenAlexW2900850787WikidataQ127634723 ScholiaQ127634723MaRDI QIDQ2331007FDOQ2331007
Marco Patacca, Gianna Figà-Talamanca
Publication date: 23 October 2019
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-019-00258-7
bitcoinmarket attentionARMA time series modelsforecasting analysisbox-Jenkins procedureGARCH time series models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a measure of lack of fit in time series models
- Volatility estimation for Bitcoin: a comparison of GARCH models
- Market attention and Bitcoin price modeling: theory, estimation and option pricing
- Title not available (Why is that?)
Cited In (10)
- Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
- Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes
- Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
- Market attention and Bitcoin price modeling: theory, estimation and option pricing
- Measuring the impact of digital exchange cyberattacks on bitcoin returns
- Blockchain and cryptocurrencies: economic and financial research
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
- Complexity traits and synchrony of cryptocurrencies price dynamics
- Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies
- An explorative analysis of sentiment impact on S\&P 500 components returns, volatility and downside risk
Uses Software
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