What drives Bitcoin's price crash risk?

DOI10.1016/J.ECONLET.2019.108777zbMath1442.91121OpenAlexW2982103765WikidataQ126985971 ScholiaQ126985971MaRDI QIDQ777637

Athanasios Sakkas, Antonios Kalyvas, Panayiotis Papakyriakou, Andrew Urquhart

Publication date: 7 July 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://centaur.reading.ac.uk/86923/1/RR_Manuscript.pdf

zbMATH Keywords

VIXcrash riskBitcoinbehavioral factorsEPUVSTOXX

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cites Work

• Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets?
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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