Is the Bitcoin Rush Over?
Dominique Guégan () and
Marius Cristian Frunza ()
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Dominique Guégan: Université Paris1 Panthéon-Sorbonne, Centre d'Economie de la Sorbonne, LabEx ReFi and Ca' Foscari University of Venezia, https://cv.archives-ouvertes.fr/dominique-guegan
Marius Cristian Frunza: Schwarzthal Kapital and LabEx ReFi
Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2014 and 2017
Keywords: Bitcoin; crypto-currencies; bubbles; market efficiency; timesseries modeling (search for similar items in EconPapers)
JEL-codes: C6 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:18014
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