On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps

Julien Chevallier, Stéphane Goutte, Khaled Guesmi and Samir Saadi

Working Papers from HAL

Abstract: This study contributes to the existing literature on the empirical characteristics of virtual currency allowing for a dynamic transition between different economic regimes and considering various crashes and rallies over the business cycle, that is captured by jumps. We combine Markov-switching models with Levy jump-diffusion offer a new model that captures the different sub-period of crises over the business cycle, that is captured by jumps. This method also enables to test the relevance of dynamic measures of regime switching concerning the independent pure-jump process, which are not frequently used in the literature. Bitcoin offers something different than a traditional currency; there is potential value of having a network that helps as a secure repository for the common knowledge of all transactions. Besides, the value of Bitcoin fluctuates so wildly that it may be too risky to serve as a credible store of value.

Keywords: Bitcoin; Lévy process; Markov-switching model (search for similar items in EconPapers)
Date: 2019-05-06
New Economics Papers: this item is included in nep-bec, nep-mon and nep-pay
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-02120636
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://shs.hal.science/halshs-02120636/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-02120636

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().