Asymmetric volatility in cryptocurrencies

DOI10.1016/j.econlet.2018.10.008zbMath1406.62110OpenAlexW2897624602MaRDI QIDQ1627016

Dirk G. Baur, Thomas Dimpfl

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.2018.10.008

zbMATH Keywords

asymmetric volatilitycryptocurrenciesBitcoinFOMO

Mathematics Subject Classification ID

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

Related Items (9)

Rocard’s 1941 Chaotic Relaxation Econometric Oscillator ⋮ Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis ⋮ Tail dependence between bitcoin and green financial assets ⋮ Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin ⋮ Can fiat currencies really hedge bitcoin? Evidence from dynamic short-term perspective ⋮ Investigating the relationship between volatilities of cryptocurrencies and other financial assets ⋮ Testing for no-cointegration under time-varying variance ⋮ How is price explosivity triggered in the cryptocurrency markets? ⋮ Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect

Cites Work

• On the aggregation of information in competitive markets
• Bitcoin futures -- what use are they?
• Volatility estimation for Bitcoin: a comparison of GARCH models
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Quantile Autoregression

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