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Asymmetric mean reversion of Bitcoin price returns · Study

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ArticleAsymmetric mean reversion of Bitcoin price returns

Shaen Corbet2018

OA

Articlegreen2018

Asymmetric mean reversion of Bitcoin price returns

Shaen Corbet · Paraskevi Katsiampa

62 citations·0/0 files stored·International Review of Financial Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1996Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC*1988Permanent and Temporary Components of Stock Prices 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets

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2020The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets 2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets 2021High-frequency return and volatility spillovers among cryptocurrencies 2020Pairs Trading in Cryptocurrency Markets 2019Are cryptocurrencies contagious to Asian financial markets?

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Details

Year2018

Typearticle

Published2018-10-09

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations62

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.irfa.2018.10.004

openalex_workW2896687340

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2023Cryptocurrency market microstructure: a systematic literature review

2021Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models

2024Cryptocurrency volatility: A review, synthesis, and research agenda