Market risk and Bitcoin returns

DOI10.1007/s10479-019-03255-6zbMath1455.91262OpenAlexW2943879361MaRDI QIDQ827254

Dimitrios Koutmos

Publication date: 7 January 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03255-6

zbMATH Keywords

asset pricingMarkov switching modelBitcoinrisk-return tradeoff

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

Prediction of cryptocurrency returns using machine learning ⋮ Financial modelling, risk management of energy instruments and the role of cryptocurrencies ⋮ Retracted: Blockchain-based intelligent contract for factoring business in supply chains ⋮ A differential evolution-based regression framework for forecasting Bitcoin price ⋮ Considering the traceability awareness of consumers: should the supply chain adopt the blockchain technology?

Cites Work

• The VIX, the variance premium and stock market volatility
• Analysis of time series subject to changes in regime
• Fat tails and volatility clustering in experimental asset markets
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Efficient Tests for an Autoregressive Unit Root

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