Cai, Y, Chevapatrakul, T and Mascia, DV orcid.org/0000-0002-3776-0420 (2021) How is price explosivity triggered in the cryptocurrency markets? Annals of Operations Research, 307 (1-2). pp. 37-51. ISSN 0254-5330
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.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © The Author(s) 2021. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/. |
Keywords: | Bayesian methods; Cryptocurrencies; Explosiveness; Quantile SETAR model |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 18 Oct 2021 10:00 |
Last Modified: | 25 Jun 2023 22:47 |
Status: | Published |
Publisher: | Springer |
Identification Number: | 10.1007/s10479-021-04298-4 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:179276 |