Outliers and Time-Varying Jumps in the Cryptocurrency Markets

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annif.suggestionselectronic money|virtual currency|risk management|means of payment|payment systems|blockchains|currency|money market|yield|prices|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p3653|http://www.yso.fi/onto/yso/p28873|http://www.yso.fi/onto/yso/p3134|http://www.yso.fi/onto/yso/p8753|http://www.yso.fi/onto/yso/p7584|http://www.yso.fi/onto/yso/p38227|http://www.yso.fi/onto/yso/p3573|http://www.yso.fi/onto/yso/p6215|http://www.yso.fi/onto/yso/p4629|http://www.yso.fi/onto/yso/p750en
dc.contributor.authorDutta, Anupam
dc.contributor.authorBouri, Elie
dc.contributor.departmentDigital Economy-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2022-05-25T07:36:36Z
dc.date.accessioned2025-06-25T13:44:57Z
dc.date.available2022-05-25T07:36:36Z
dc.date.issued2022-03-08
dc.description.abstractWe 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.-
dc.description.notification© 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/).-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent7-
dc.identifier.olddbid16451
dc.identifier.oldhandle10024/14132
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/2668
dc.identifier.urnURN:NBN:fi-fe2022052538683-
dc.language.isoeng-
dc.publisherMDPI-
dc.relation.doi10.3390/jrfm15030128-
dc.relation.ispartofjournalJournal of Risk and Financial Management-
dc.relation.issn1911-8074-
dc.relation.issn1911-8066-
dc.relation.issue3-
dc.relation.urlhttps://doi.org/10.3390/jrfm15030128-
dc.relation.volume15-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:000774786400001-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/14132
dc.subjectBitcoin-
dc.subjectcryptocurrencies-
dc.subjectoutliers-
dc.subjectGARCH-jump-
dc.subjecttime-varying jumps-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.titleOutliers and Time-Varying Jumps in the Cryptocurrency Markets-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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