Yuzhi Cai
How is price explosivity triggered in the cryptocurrency markets?
Cai, Yuzhi; Chevapatrakul, Thanaset; Mascia, Danilo V
Authors
Abstract
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.
Citation
Cai, Y., Chevapatrakul, T., & Mascia, D. V. (2021). How is price explosivity triggered in the cryptocurrency markets?. Annals of Operations Research, 307(1-2), 37-51. https://doi.org/10.1007/s10479-021-04298-4
Journal Article Type | Article |
---|---|
Acceptance Date | Sep 9, 2021 |
Online Publication Date | Oct 15, 2021 |
Publication Date | Dec 1, 2021 |
Deposit Date | Sep 14, 2021 |
Publicly Available Date | Jan 7, 2022 |
Journal | Annals of Operations Research |
Print ISSN | 0254-5330 |
Electronic ISSN | 1572-9338 |
Publisher | Springer Science and Business Media LLC |
Peer Reviewed | Peer Reviewed |
Volume | 307 |
Issue | 1-2 |
Pages | 37-51 |
DOI | https://doi.org/10.1007/s10479-021-04298-4 |
Keywords | Management Science and Operations Research; General Decision Sciences |
Public URL | https://nottingham-repository.worktribe.com/output/6239254 |
Publisher URL | https://link.springer.com/article/10.1007%2Fs10479-021-04298-4 |
Files
How Is Price Explosivity
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Publisher Licence URL
https://creativecommons.org/licenses/by/4.0/
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