How is price explosivity triggered in the cryptocurrency markets?
(2021)
Journal Article
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
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... Read More about How is price explosivity triggered in the cryptocurrency markets?.