A new look at Cryptocurrencies
Jennifer S.K. Chan and
Economics Letters, 2018, vol. 163, issue C, 6-9
The complexities of Cryptocurrencies are yet to be fully explored. New evidence suggests the most popular Cryptocurrency, Bitcoin, displays many diverse stylized facts including long memory and heteroskedasticity. This note combines many of these attributes into a single model to conditionally measure the varied nature of Cryptocurrencies. Understanding these properties helps us to evaluate their investability. We fit our model to 224 different Cryptocurrencies in order to determine which of these properties exist. It is found that Cryptocurrencies in general have several unique properties including leverage effects and Student-t error distributions.
Keywords: Long memory; Stochastic volatility; Leverage; Heavy tails; Cryptocurrency; Bitcoin (search for similar items in EconPapers)
JEL-codes: C5 C22 G1 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:163:y:2018:i:c:p:6-9
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().