AIMS Mathematics,
Journal Year:
2023,
Volume and Issue:
9(1), P. 896 - 917
Published: Dec. 5, 2023
<abstract><p>An
empirical
investigation
was
held
regarding
whether
topological
properties
associated
with
point
clouds
formed
by
cryptocurrencies'
prices
could
contain
information
on
(locally)
explosive
dynamics
of
the
processes
involved.
Those
are
financial
bubbles.
The
Phillips,
Shi
and
Yu
<sup>[<xref
ref-type="bibr"
rid="b33">33</xref>,<xref
rid="b34">34</xref>]</sup>
(PSY)
timestamping
method
as
well
notions
Topological
Data
Analysis
(TDA)
like
persistent
simplicial
homology
landscapes
were
employed
a
dataset
consisting
time
series
daily
closing
Bitcoin,
Ethereum,
Ripple
Litecoin.
note
provides
some
evidence
that
TDA
be
useful
in
detecting
If
robust,
such
an
conclusion
opens
interesting
paths
further
research.</p></abstract>
Abstract
The
aim
of
this
study
is
to
examine
the
daily
return
spillover
among
18
cryptocurrencies
under
low
and
high
volatility
regimes,
while
considering
three
pricing
factors
effect
COVID-19
outbreak.
To
do
so,
we
apply
a
Markov
regime-switching
(MS)
vector
autoregressive
with
exogenous
variables
(VARX)
model
dataset
from
25-July-2016
1-April-2020.
results
indicate
various
patterns
in
especially
during
total
index
varies
time
abruptly
intensifies
following
outbreak
COVID-19,
regime.
Notably,
network
analysis
reveals
further
evidence
much
higher
spillovers
regime
outbreak,
which
consistent
notion
contagion
stress
periods.
Applied Economics Letters,
Journal Year:
2024,
Volume and Issue:
unknown, P. 1 - 7
Published: Jan. 8, 2024
This
study
analyzes
the
dependence
structures
of
eight
leading
decentralized
finance
tokens
using
GARCH-EVT-Copula
models.
The
empirical
results
indicated
that
dependencies
between
DeFi
and
Bitcoin
Ethereum
were
positive
time-varying.
demonstrated
a
stronger
association
with
than
Bitcoin.
found
to
exhibit
weaker
lower
tail
dependencies,
revealing
unique
feature
in
reducing
extreme
downside
risks
enhancing
portfolio
diversification.
Digital Finance,
Journal Year:
2024,
Volume and Issue:
6(4), P. 605 - 638
Published: Aug. 8, 2024
Abstract
Cryptocurrency
markets
have
recently
attracted
significant
attention
due
to
their
potential
for
high
returns;
however,
underlying
dynamics,
especially
those
concerning
price
jumps,
continue
be
explored.
Building
on
previous
research,
this
study
examines
the
presence
and
clustering
of
jumps
in
an
extensive
tick
data
set
covering
six
major
cryptocurrencies
traded
against
Tether
seven
leading
exchanges
worldwide
over
nearly
2.5
years.
Our
analysis
reveals
that
occur
up
58%
trading
days,
with
negative
predominating
both
frequency
size.
Notably,
we
observe
systematic
time,
Bitcoin
Ethereum,
indicating
interconnected
market
dynamics
predictive
power
movements.
By
employing
high-frequency
econometric
tools,
identify
temporal
patterns
jump
occurrence,
highlighting
heightened
activity
during
specific
hours
days.
We
also
find
evidence
influencing
intraday
returns,
underscoring
significance
short-term
dynamics.
findings
enhance
understanding
cryptocurrency
microstructure
offer
insights
risk
management
modeling
strategies.
Nevertheless,
further
research
is
needed
develop
robust
methodologies
detecting
analyzing
co-jumps
across
multiple
assets.
Economic Notes,
Journal Year:
2024,
Volume and Issue:
53(3)
Published: Sept. 3, 2024
Abstract
This
paper
investigates
the
dynamic
relationships
between
volatility
of
Bitcoin
and
major
Indian
stock
market
indices.
Employing
a
conditional
correlation–generalized
autoregressive
heteroskedasticity
(DCC‐GARCH)
model,
we
explore
how
shocks
information
flow
influence
correlations
these
asset
classes.
Our
findings
reveal
key
characteristic:
spillovers
tend
to
be
short‐lived,
indicated
by
relatively
low
DCC‐GARCH
parameter
(dcca1).
suggests
that
while
surge
in
one
might
lead
temporary
increase
correlation
with
other,
this
heightened
is
unlikely
persist
for
extended
periods.
However,
model
also
highlights
high
(dccb1),
signifying
themselves
are
responsive
new
information.
implies
linkages
can
adjust
rapidly
response
events
or
economic
data
releases.
To
enhance
accessibility
broad
audience,
translate
into
intuitions.
We
illustrate
interpreted
through
real‐world
examples,
such
as
impact
sudden
policy
changes
India
global
flash
crashes.
By
understanding
short‐lived
nature
responsiveness
correlations,
investors
markets
make
more
informed
decisions
when
considering
potential
Bitcoin's
contributing
deeper
interactions
cryptocurrency
traditional
financial
context.
Southern Economic Journal,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Dec. 10, 2024
Abstract
We
construct
a
new
daily
measure
of
uncertainty
about
economic
policy
for
Korea.
The
(EPU)
index
is
extracted
from
the
reporting
in
major
Korean
newspapers.
then
investigate
how
EPU
affects
Kimchi
premium,
which
ratio
Bitcoin
price
Korea
to
that
United
States,
adjusted
exchange
rate.
Our
findings
indicate
an
increase
Korea's
makes
more
expensive
Korea,
while
U.S.
dollar
strengthens
against
won.
stronger
appreciation
outweighs
prices,
thereby
lowering
premium.
Similarly,
has
comparable
but
weaker
effects.
almost
entirely
offsets
higher
relative
resulting
no
significant
impact
on
premium
changes
EPU.
In
addition,
results
suggest
tends
rise
with
increased
trading
volume
decreases
as
increases
States.
also
document
positively
associated
volatility
it
not
significantly
related
Annals of Data Science,
Journal Year:
2024,
Volume and Issue:
unknown
Published: Feb. 14, 2024
Abstract
The
main
objective
of
this
paper
is
to
forecast
the
realized
volatility
(RV)
Bitcoin
futures
(BTCF)
market.
To
serve
our
purpose,
we
propose
an
augmented
heterogenous
autoregressive
(HAR)
model
consider
information
on
time-varying
jumps
observed
in
BTCF
returns.
Specifically,
estimate
jump-induced
using
GARCH-jump
process
and
then
HAR
model.
Both
in-sample
out-of-sample
analyses
show
that
offer
added
which
not
provided
by
existing
models.
In
addition,
a
novel
finding
offers
incremental
relative
implied
index.
sum,
results
indicate
HAR-RV
comprising
leverage
effects
jump
would
predict
RV
more
precisely
compared
standard
HAR-type
These
findings
have
important
implications
cryptocurrency
investors.
