Volatility and return jumps in Bitcoin

DOI10.1016/J.ECONLET.2018.10.011MaRDI QIDQ1627021zbMATH OpenOpenAlexFDO

Authors Pedro Chaim, Márcio Poletti Laurini

Publication date 22 November 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.10.011

zbMATH Keywords

Bitcoincryptocurrenciesjumpsstochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
• Long memory and regime switching
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(22)

• Return and volatility spillovers among cryptocurrencies
• Asymmetric volatility in cryptocurrencies
• Portfolio management with cryptocurrencies: the role of estimation risk
• Transaction activity and bitcoin realized volatility
• Can fiat currencies really hedge bitcoin? Evidence from dynamic short-term perspective
• How is price explosivity triggered in the cryptocurrency markets?
• Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
• Does market attention affect bitcoin returns and volatility?
• Measuring the impact of digital exchange cyberattacks on bitcoin returns
• Vulnerability-CoVaR: investigating the crypto-market
• Bitcoin: jumps, convenience yields, and option prices
• Time-dependent relations between gaps and returns in a bitcoin order book
• Bitcoin and Its Offspring: A Volatility Risk Approach
• Disentangling the nonlinearity effect in cryptocurrency markets during the Covid-19 pandemic: evidence from a regime-switching approach
• The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
• A Time-Varying Network for Cryptocurrencies
• Implied volatility slopes and jumps in bitcoin options market
• A multivariate stochastic volatility model with generalized factor dynamics
• Momentum trading in cryptocurrencies: short-term returns and diversification benefits
• Volatility forecasting accuracy for Bitcoin
• Market risk and Bitcoin returns

Describes a project that uses

Uses Software

• stochvol

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