Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis

DOI10.1016/J.ORL.2020.08.005zbMath1478.91189OpenAlexW3080722761MaRDI QIDQ2661537

Yanlin Shi, Le Chang

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.08.005

zbMATH Keywords

price discoverycryptocurrenciesinformation sharetime-varying VECM

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Smooth coefficient estimation of a seemingly unrelated regression
• Asymmetric volatility in cryptocurrencies
• Long memory interdependency and inefficiency in bitcoin markets
• An analysis of price discovery between Bitcoin futures and spot markets

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