Does market attention affect bitcoin returns and volatility?

DOI10.1007/S10203-019-00258-7MaRDI QIDQ2331007zbMATH OpenOpenAlexWikidataFDO

Authors 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

zbMATH Keywords

ARMA time series modelsbitcoinbox-Jenkins procedureforecasting analysisGARCH time series modelsmarket attention

Mathematics Subject Classification ID

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)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Financial econometrics. From basics to advanced modeling techniques.
• Market attention and Bitcoin price modeling: theory, estimation and option pricing
• On a measure of lack of fit in time series models
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(21)

• Volatility and return jumps in Bitcoin
• Price clustering in bitcoin
• Forecasting volatility in bitcoin market
• Transaction activity and bitcoin realized volatility
• Blockchain and cryptocurrencies: economic and financial research
• Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies
• Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
• Complexity traits and synchrony of cryptocurrencies price dynamics
• What is the expected return on bitcoin? Extracting the term structure of returns from options prices
• Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms
• Energy consumption and Bitcoin market
• Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
• Measuring the impact of digital exchange cyberattacks on bitcoin returns
• The distribution of virtual financial assets return: based on Bitcoin market
• Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes
• An explorative analysis of sentiment impact on S\&P 500 components returns, volatility and downside risk
• Betting on Bitcoin: does gambling volume on the blockchain explain Bitcoin price changes?
• 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
• Market risk and Bitcoin returns

Describes a project that uses

Uses Software

• Rugarch

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