How is price explosivity triggered in the cryptocurrency markets?

被引：8
作者：
Cai, Yuzhi [1 ]
Chevapatrakul, Thanaset [2 ]
Mascia, Danilo, V [3 ]
机构：
[1] Swansea Univ, Sch Management, Dept Accounting & Finance, Bay Campus,Fabian Way, Swansea SA1 8EN, SA, Wales
[2] Univ Nottingham, Business Sch, Jubilee Campus, Nottingham NG8 1BB, England
[3] Univ Leeds, Business Sch, Int Banking Inst, Maurice Keyworth Bldg, Leeds LS2 9JT, W Yorkshire, England
来源：
ANNALS OF OPERATIONS RESEARCH | 2021年 / 307卷 / 1-2期
关键词：
Explosiveness; Cryptocurrencies; Bayesian methods; Quantile SETAR model; BITCOIN; VOLATILITY; INEFFICIENCY; RETURN; JUMPS;
D O I：
10.1007/s10479-021-04298-4
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：37 / 51
页数：15
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