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Price discovery on Bitcoin markets · Study

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ArticlePrice discovery on Bitcoin markets

Paolo Pagnottoni2019

Article2019

Price discovery on Bitcoin markets

Paolo Pagnottoni · Thomas Dimpfl

52 citations·0/0 files stored·Digital Finance

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Financial Markets and Investment Strategies Blockchain Technology Applications and Security Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1988Testing for Common Trends 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1995Estimation of Common Long-Memory Components in Cointegrated Systems

Cited by

2019Crypto price discovery through correlation networks 2019Neural Network Models for Bitcoin Option Pricing 2018Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?2020Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?2022Sentiment, Google queries and explosivity in the cryptocurrency market

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2015The financial econometrics of price discovery and predictabilityarticle · 13 shared references 2019Price discovery in bitcoin spot or futures?article · 11 shared references 2013Telltale Tails: A New Approach to Estimating Unique Market Information Sharesarticle · 11 shared references 2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?article · 11 shared references 2017Cointegration and price discovery in US corn cash and futures marketsarticle · 9 shared references 2020The determinants of price discovery on bitcoin marketsarticle · 9 shared references

Details

Year2019

Typearticle

Published2019-03-27

VenueDigital Finance

ISSN-L2524-6186

Languageen

Citations52

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s42521-019-00006-x

openalex_workW2902805835

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