Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - In: Economics: The Open-Access, Open-Assessment E-Journal 11 (2017) 2017-2, pp. 1-16
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily …-volatility relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after … conditional volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is …