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ArticleVolatility and return jumps in bitcoin

Pedro Chaim2018

Article2018

Volatility and return jumps in bitcoin

Pedro Chaim · Márcio Poletti Laurini

214 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

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 2016The Inefficiency of Bitcoin 2001Long memory and regime switching 2017Volatility estimation for Bitcoin: A comparison of GARCH models 2018Price manipulation in the Bitcoin ecosystem 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles

Cited by

2018Portfolio Management with Cryptocurrencies: The Role of Estimation Risk 2018Is Bitcoin a bubble?2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets 2019Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis 2020The impact of blockchain related name changes on corporate performance

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Year2018

Typearticle

Published2018-10-15

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations214

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2018.10.011

openalex_workW2897385673

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2019

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