Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization
Douglas Eduardo Turatti, Fernando Henrique P. S. Mendes, João Frois Caldeira
| Year of publication: |
2020
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|---|---|
| Authors: | Turatti, Douglas Eduardo ; Mendes, Fernando Henrique de Paula e Silva ; Caldeira, João F. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 34.2020, p. 1-8
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| Subject: | Autoregression tests | Gibbs-sampling-augmented randomization | Markov-switching models | Mean reversion in Bitcoin market | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Schätzung | Estimation | Mean Reversion | Mean reversion | Zeitreihenanalyse | Time series analysis | Virtuelle Währung | Virtual currency | Schätztheorie | Estimation theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.07.025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012436908