Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Dutta, Anupam; Bouri, Elie (2022-03-08)
 
Katso/Avaa
Lataukset: 

URI
https://doi.org/10.3390/jrfm15030128

Dutta, Anupam
Bouri, Elie
MDPI
08.03.2022
doi:10.3390/jrfm15030128
Näytä kaikki kuvailutiedot
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2022052538683

Kuvaus

vertaisarvioitu
© 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
Tiivistelmä
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index. Notably, the presence of jumps in Bitcoin is significant after correcting for outliers. The main findings point to a price instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in modelling volatility in the debatable cryptocurrency markets.
Kokoelmat