Detecting overreaction in the Bitcoin market: A quantile autoregression approach
(2018)
Journal Article
Chevapatrakul, T., & Mascia, D. V. (2019). Detecting overreaction in the Bitcoin market: A quantile autoregression approach. Finance Research Letters, 30, 371-377. https://doi.org/10.1016/j.frl.2018.11.004
We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly re... Read More about Detecting overreaction in the Bitcoin market: A quantile autoregression approach.