Taylor effect in Bitcoin time series

Tetsuya Takaishi and Takanori Adachi

Economics Letters, 2018, vol. 172, issue C, 5-7

Abstract: This letter investigates the Taylor effect in Bitcoin time series. It is found that the Taylor effect exists in Bitcoin, and the value of the power that maximizes the autocorrelation of the power of absolute returns depends on a time lag in the autocorrelation function. While the Taylor effect of foreign exchange rates has a daily seasonality, we could not find any daily seasonality in the Taylor effect of Bitcoin.

Keywords: Taylor effect; Bitcoin; Cryptocurrency; Autocorrelation (search for similar items in EconPapers)
JEL-codes: C1 E3 G1 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:172:y:2018:i:c:p:5-7

DOI: 10.1016/j.econlet.2018.07.046

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