How is price explosivity triggered in the cryptocurrency markets?

【Author】 Cai, Yuzhi; Chevapatrakul, Thanaset; Mascia, Danilo, V

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【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.

【Keywords】Explosiveness; Cryptocurrencies; Bayesian methods; Quantile SETAR model

【发表时间】2021 DEC

【收录时间】2022-01-01

【文献类型】

【主题类别】

--