Periodicity in Bitcoin returns: A time-varying volatility approach

We examine if the day-of-the-week effect is present in Bitcoin return series. The model specification in use accounts for conditional heteroscedasticity, which is captured in the form of a stochastic volatility process that allows for periodic time-varying parameters. We find periodicity in Bitcoin returns, which is evidence against the market efficiency of Bitcoin.

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Year of publication:	2018-10-29
Authors:	Aknouche, Abdelhakim ; Dimitrakopoulos, Stefanos

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Aknouche, Abdelhakim and Dimitrakopoulos, Stefanos (2018): Periodicity in Bitcoin returns: A time-varying volatility approach.
Classification:	C32 - Time-Series Models ; c58 ; G38 - Government Policy and Regulation
Source:	BASE

Persistent link: https://www.econbiz.de/10015214375