Chen, Yi-Hsuan; Hafner, Christian M. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-12
Cryptocurrencies lack clear measures of fundamental values and are often associated with speculative bubbles. This paper introduces a new way of testing for speculative bubbles based on StockTwits sentiment, which is used as the transition variable in a smooth transition autoregression. The...