Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics

DOI10.1016/j.econlet.2019.108831zbMath1436.91113OpenAlexW2987944383WikidataQ111690009 ScholiaQ111690009MaRDI QIDQ777638

Gianna Figà-Talamanca, Alessandra Cretarola

Publication date: 7 July 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108831

zbMATH Keywords

bubbleregime-switching modelBitcoinEthereum

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (5)

Prediction of cryptocurrency returns using machine learning ⋮ Asymptotic properties of mildly explosive processes with locally stationary disturbance ⋮ 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

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• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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