Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021.
"Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
- Yaya, OlaOluwa S & Ogbonna, Ephraim A & Mudida, Robert, 2019. "Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration," MPRA Paper 91450, University Library of Munich, Germany.
- Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009.
"Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange,"
Journal of Empirical Finance, Elsevier, vol. 16(5), pages 777-792, December.
- Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE.
- Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
- Amélie Charles & Olivier Darné, 2019.
"Volatility estimation for Bitcoin: Replication and robustness,"
International Economics, CEPII research center, issue 157, pages 23-32.
- Charles, Amélie & Darné, Olivier, 2019. "Volatility estimation for Bitcoin: Replication and robustness," International Economics, Elsevier, vol. 157(C), pages 23-32.
- Olivier Darné & Amélie Charles, 2019. "Volatility estimation for Bitcoin: Replication and robustness," Post-Print hal-01941102, HAL.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015.
"Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins,"
Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 16(6), pages 365-373.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Working Papers CEB 13-031, ULB -- Universite Libre de Bruxelles.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," ULB Institutional Repository 2013/226296, ULB -- Universite Libre de Bruxelles.
- Marie Brière & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Post-Print hal-02315410, HAL.
- Feng Jin & Jingwei Li & Guangchen Li & Lele Qin, 2022. "Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH-EVT-Copula Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2022, pages 1-10, August.
- Baron, Matthew & Brogaard, Jonathan & Hagströmer, Björn & Kirilenko, Andrei, 2019.
"Risk and Return in High-Frequency Trading,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 993-1024, June.
- Matthew Baron & Björn Hagströmer & Andrei Kirilenko, 2017. "Risk and Return in High-Frequency Trading," GRU Working Paper Series GRU_2017_018, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Ozili, Peterson & Arun, Thankom, 2020. "Spillover of COVID-19: Impact on the Global Economy," MPRA Paper 99317, University Library of Munich, Germany.
- Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013.
"The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, September.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
- Shi, Yongjing & Tiwari, Aviral Kumar & Gozgor, Giray & Lu, Zhou, 2020. "Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model," Research in International Business and Finance, Elsevier, vol. 53(C).
- Aslanidis, Nektarios & Bariviera, Aurelio F. & Martínez-Ibañez, Oscar, 2019.
"An analysis of cryptocurrencies conditional cross correlations,"
Finance Research Letters, Elsevier, vol. 31(C), pages 130-137.
- Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez, 2018. "An analysis of cryptocurrencies conditional cross correlations," Papers 1811.08365, arXiv.org, revised Feb 2019.
- Elie Bouri & Luis A. Gil‐Alana & Rangan Gupta & David Roubaud, 2019.
"Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 412-426, January.
- Elie Bouri & Luis A. Gil-Alana & Rangan Gupta & David Roubaud, 2016. "Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks," Working Papers 201654, University of Pretoria, Department of Economics.
- Youssef, Mouna & Waked, Sami Sobhi, 2022. "Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Yarovaya, Larisa & Zięba, Damian, 2022. "Intraday volume-return nexus in cryptocurrency markets: Novel evidence from cryptocurrency classification," Research in International Business and Finance, Elsevier, vol. 60(C).
- Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
- Osamah Al-Khazali & Elie Bouri & David Roubaud, 2018. "The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin," Economics Bulletin, AccessEcon, vol. 38(1), pages 373-382.
- Serkan, Samut & Yamak, Rahmi, 2021. "Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies?," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(4), pages 517-534.
- Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017.
"Some stylized facts of the Bitcoin market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
- Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
- Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Chevallier, Julien, 2020. "Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models," Finance Research Letters, Elsevier, vol. 35(C).
- Beltratti, Andrea & Morana, Claudio, 1999. "Computing value at risk with high frequency data," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 431-455, December.
- Baur, Dirk G. & Dimpfl, Thomas, 2018. "Asymmetric volatility in cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 148-151.
- Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
- Seyed Alireza Athari & Ngo Thai Hung, 2022. "Time–frequency return co-movement among asset classes around the COVID-19 outbreak: portfolio implications," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 736-756, October.
- Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Nie, Chun-Xiao, 2022. "Analysis of critical events in the correlation dynamics of cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Paola Stolfi & Mauro Bernardi & Davide Vergni, 2022. "Robust estimation of time-dependent precision matrix with application to the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
- Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021.
"Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis,"
Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
- Aurelio F. Bariviera & Ignasi Merediz-Sol`a, 2020. "Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis," Papers 2003.09723, arXiv.org.
- Sercan Demiralay & Selçuk Bayracı, 2021. "Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6188-6204, October.
- Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
- Karim, Muhammad Mahmudul & Shah, Mohamed Eskandar & Noman, Abu Hanifa Md. & Yarovaya, Larisa, 2024. "Exploring asymmetries in cryptocurrency intraday returns and implied volatility: New evidence for high-frequency traders," International Review of Financial Analysis, Elsevier, vol. 96(PA).
- Yin, Libo & Nie, Jing & Han, Liyan, 2021. "Understanding cryptocurrency volatility: The role of oil market shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 233-253.
- Huthaifa Alqaralleh & Alaa Adden Abuhommous & Ahmad Alsaraireh, 2020. "Modelling and Forecasting the Volatility of Cryptocurrencies: A Comparison of Nonlinear GARCH-Type Models," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 346-356, July.
- D’Amato, Valeria & Levantesi, Susanna & Piscopo, Gabriella, 2022. "Deep learning in predicting cryptocurrency volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
- Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
- Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
- Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
- Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
- Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
- Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019.
"The effects of markets, uncertainty and search intensity on bitcoin returns,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
- Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
- Zhang, Chuanhai & Ma, Huan & Arkorful, Gideon Bruce & Peng, Zhe, 2023. "The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
- Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019.
"How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
- Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
- Silky Vigg Kushwah & Shab Hundal & Payal Goel, 2024. "Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies," International Journal of Economics and Financial Issues, Econjournals, vol. 14(3), pages 132-139, May.
More about this item
Keywords
GARCH-M NIG; risk premium; Normal-Inverse Gaussian distribution; Bitcoin; Ethereum;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:11:y:2023:i:20:p:4395-:d:1265288. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.