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A new look at Cryptocurrencies

Author

Listed:
  • Phillip, Andrew
  • Chan, Jennifer S.K.
  • Peiris, Shelton

Abstract

The complexities of Cryptocurrencies are yet to be fully explored. New evidence suggests the most popular Cryptocurrency, Bitcoin, displays many diverse stylized facts including long memory and heteroskedasticity. This note combines many of these attributes into a single model to conditionally measure the varied nature of Cryptocurrencies. Understanding these properties helps us to evaluate their investability. We fit our model to 224 different Cryptocurrencies in order to determine which of these properties exist. It is found that Cryptocurrencies in general have several unique properties including leverage effects and Student-t error distributions.

Suggested Citation

  • Phillip, Andrew & Chan, Jennifer S.K. & Peiris, Shelton, 2018. "A new look at Cryptocurrencies," Economics Letters, Elsevier, vol. 163(C), pages 6-9.
    • Handle: RePEc:eee:ecolet:v:163:y:2018:i:c:p:6-9
    DOI: 10.1016/j.econlet.2017.11.020
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    References listed on IDEAS

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    More about this item

    Keywords

    Long memory; Stochastic volatility; Leverage; Heavy tails; Cryptocurrency; Bitcoin;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G1 - Financial Economics - - General Financial Markets

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