Taylor effect in Bitcoin time series

【Author】 Takaishi, Tetsuya; Adachi, Takanori

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】This letter investigates the Taylor effect in Bitcoin time series. It is found that the Taylor effect exists in Bitcoin, and the value of the power that maximizes the autocorrelation of the power of absolute returns depends on a time lag in the autocorrelation function. While the Taylor effect of foreign exchange rates has a daily seasonality, we could not find any daily seasonality in the Taylor effect of Bitcoin. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Taylor effect; Bitcoin; Cryptocurrency; Autocorrelation

【发表时间】2018 NOV

【收录时间】2022-01-02

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