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dc.contributor.authorCross, Jamie
dc.contributor.authorHou, Chenghan
dc.contributor.authorTrinh, Kelly
dc.date.accessioned2023-08-22T11:19:22Z
dc.date.available2023-08-22T11:19:22Z
dc.date.created2022-01-02T17:26:09Z
dc.date.issued2021
dc.identifier.issn0264-9993
dc.identifier.urihttps://hdl.handle.net/11250/3085236
dc.description.abstractResearch on cryptocurrencies has focused on price and volatility formation in isolation, however knowledge about their interdependence is important for risk management and asset allocation. We investigate the existence and nature of such a relationship in four commonly traded cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple, during the cryptocurrency bubble of 2017–18. Using a generalized asset pricing model, we find evidence of a risk premium effect in Litecoin and Ripple during the boom of 2017, and that adverse news effects were an important driver of the cryptocurrency crash of 2018 in all four cryptocurrencies. In an out-of-sample forecasting exercise, we find that allowing for stochastic volatility and a heavy tailed distribution provides more accurate return and volatility forecasts compared to a random walk benchmark. This suggests that cryptocurrency markets were not weak-form efficient during this period.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectCryptocurrenciesen_US
dc.titleReturns, Volatility and the Cryptocurrency Bubble of 2017-18en_US
dc.typeJournal articleen_US
dc.typePeer revieweden_US
dc.description.versionacceptedVersionen_US
dc.source.volume104en_US
dc.source.journalEconomic Modellingen_US
dc.identifier.doi10.1016/j.econmod.2021.105643
dc.identifier.cristin1973389
dc.source.articlenumber105643en_US
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode1


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal