How is price explosivity triggered in the cryptocurrency markets?

Autor:	Danilo V. Mascia, Thanaset Chevapatrakul, Yuzhi Cai
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	Explosive behaviour Cryptocurrency Autoregressive model Theory of computation Bayesian probability Econometrics Economics General Decision Sciences Management Science and Operations Research Volcanic explosivity index Quantile
ISSN:	0254-5330 1572-9338
Popis:	We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that the explosive behaviour originates from the extreme upper tails of the return distributions following a price increase in the preceding day. We do not find evidence of explositivity in the price of Litecoin.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2fe9e286e5a88e94de8f3343f69deaed https://eprints.whiterose.ac.uk/179276/6/Cai2021_Article_HowIsPriceExplosivityTriggered.pdf Zobrazit plný text záznamu Full text from SpringerLink