Does market attention affect bitcoin returns and volatility?

DOI10.1007/S10203-019-00258-7zbMath1431.62474OpenAlexW2900850787WikidataQ127634723 ScholiaQ127634723MaRDI QIDQ2331007

Marco Patacca, Gianna Figà-Talamanca

Publication date: 23 October 2019

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00258-7

zbMATH Keywords

bitcoinmarket attentionARMA time series modelsforecasting analysisbox-Jenkins procedureGARCH time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (7)

Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} ⋮ Blockchain and cryptocurrencies: economic and financial research ⋮ Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies ⋮ Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages ⋮ Complexity traits and synchrony of cryptocurrencies price dynamics ⋮ Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics ⋮ Market attention and Bitcoin price modeling: theory, estimation and option pricing

Uses Software

• Rugarch

Cites Work

• Unnamed Item
• Market attention and Bitcoin price modeling: theory, estimation and option pricing
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a measure of lack of fit in time series models

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