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
Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?
Sign Up to like & getrecommendations! Published in 2021 at "Frontiers in Public Health"
DOI: 10.3389/fpubh.2021.704900
Abstract: The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures. Specifically, we adopt the vector autoregression-dynamic correlation coefficient-generalized… read more here.
Keywords: bitcoin futures; spot; market; bitcoin ... See more keywords