What drives Bitcoin's price crash risk?

DOI10.1016/J.ECONLET.2019.108777MaRDI QIDQ777637zbMATHOpenAlexWikidataFDO

Authors Antonios Kalyvas, Panayiotis Papakyriakou, Athanasios Sakkas, Andrew Urquhart

Publication date 7 July 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://centaur.reading.ac.uk/86923/1/RR_Manuscript.pdf

zbMATH Keywords

VIXcrash riskbehavioral factorsBitcoinEPUVSTOXX

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets?

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• Energy consumption and Bitcoin market
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