Economics at your fingertips  

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 (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

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 ().

Page updated 2019-03-30
Handle: RePEc:eee:ecolet:v:172:y:2018:i:c:p:5-7