Fractional cointegration in bitcoin spot and futures markets
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DOI: 10.1002/fut.22216
Abstract: This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020 We find that bitcoin spot and… read more here.
Keywords: bitcoin spot; bitcoin; spot; price discovery ... See more keywords
Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality
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DOI: 10.1002/fut.22597
Abstract: This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation… read more here.
Keywords: volatility conditional; bitcoin options; bitcoin; memory conditional ... See more keywords
A note on the Bitcoin and Fed Funds rate
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DOI: 10.1007/s00181-022-02207-7
Abstract: This study examines the potential influence of the Federal Reserve policy on Bitcoin price dynamics. The empirical investigation is based on methodologies to quantify the influence of the Fed Funds rate on Bitcoin through linear,… read more here.
Keywords: fed funds; note bitcoin; bitcoin fed; funds rate ... See more keywords
Intertemporal asset pricing with bitcoin
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DOI: 10.1007/s11156-020-00904-x
Abstract: This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily bitcoin price… read more here.
Keywords: asset pricing; asset; volatility; bitcoin ... See more keywords
Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00905-w
Abstract: The purpose of this article is to find a better technique for estimating the volatility of the price of bitcoin on the one hand and to check if this special kind of asset called cryptocurrency… read more here.
Keywords: volatility; bitcoin; stock market; model ... See more keywords
Does Bitcoin add value to global industry portfolios?
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DOI: 10.1016/j.econlet.2019.108935
Abstract: Bitcoin has been increasingly viewed as a new form of investment, yet its role as an asset in a diversified industry portfolio is not well understood. In this paper, we explore the dynamic interdependence between… read more here.
Keywords: add value; global industry; industry; bitcoin ... See more keywords
The impact of the Bitcoin bubble of 2017 on Bitcoin's P2P market
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DOI: 10.1016/j.frl.2018.09.001
Abstract: Abstract Peer-to-peer (P2P) exchange has an important role to play in global Bitcoin trading, yet most research into Bitcoin price behaviour focuses on exchange trading. An analysis of Bitcoin's P2P market indicates that when prices… read more here.
Keywords: bitcoin p2p; bitcoin; bid ask; p2p market ... See more keywords
Does the introduction of futures improve the efficiency of Bitcoin?
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DOI: 10.1016/j.frl.2018.11.006
Abstract: The introduction of futures on Bitcoin eases the access of institutional investors to the market and offers an efficient way to short the cryptocurrency. We investigate the effect of this event on the market’s price… read more here.
Keywords: bitcoin; futures improve; introduction futures; efficiency ... See more keywords
The influence of Bitcoin on portfolio diversification and design
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DOI: 10.1016/j.frl.2019.101344
Abstract: Abstract We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index,… read more here.
Keywords: portfolio; industry; bitcoin; portfolio diversification ... See more keywords
Safe haven or risky hazard? Bitcoin during the Covid-19 bear market
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DOI: 10.1016/j.frl.2020.101607
Abstract: Abstract The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this… read more here.
Keywords: safe risky; covid bear; bear market; market ... See more keywords
The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101754
Abstract: Abstract This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using the Nonlinear Autoregressive Distributed Lag (NARDL) model for the period July 2015 to… read more here.
Keywords: asymmetric effect; effect bitcoin; bitcoin; effect ... See more keywords