Volatility and return jumps in Bitcoin

DOI10.1016/J.ECONLET.2018.10.011zbMath1406.62113OpenAlexW2897385673MaRDI QIDQ1627021

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

jumpsstochastic volatilitycryptocurrenciesBitcoin

Mathematics Subject Classification ID

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

Related Items (9)

Vulnerability-CoVaR: investigating the crypto-market ⋮ Bitcoin: jumps, convenience yields, and option prices ⋮ 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 ⋮ 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? ⋮ Momentum trading in cryptocurrencies: short-term returns and diversification benefits

Uses Software

• stochvol

Cites Work

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

This page was built for publication: Volatility and return jumps in Bitcoin