Taylor effect in Bitcoin time series
Tetsuya Takaishi and
Economics Letters, 2018, vol. 172, issue C, 5-7
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)
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