Mostrar el registro sencillo del ítem

Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour

dc.contributor.authorCaferra, Rocco
dc.contributor.authorMORONE, ANDREA
dc.contributor.authorPoti, Valerio
dc.date.accessioned2023-02-06T08:02:08Z
dc.date.available2023-02-06T08:02:08Z
dc.date.issued2022-07-21
dc.identifier.citationCAFERRA, Rocco; MORONE, Andrea; POTÌ, Valerio. Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour. Economics Letters, 2022, vol. 218, p. 110734.ca_CA
dc.identifier.urihttp://hdl.handle.net/10234/201531
dc.description.abstractThis study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network connectivity we consider include connectivity between the on- and off-chain segments of the Bitcoin market, the intensity and synchronization of social and traditional crypto-focused media activity, the intensity of network correlations between cryptocurrencies. We identify tail behaviour predictors employing a quantile regression approach. The results demonstrate the effectiveness of several connectivity measures in predicting both price spikes and downfalls, but in a different way before and during the COVID-19 outbreak.ca_CA
dc.format.extent6 p.ca_CA
dc.format.mimetypeapplication/pdfca_CA
dc.language.isoengca_CA
dc.publisherElsevierca_CA
dc.relationFinAI: Fintech and Artificial Intelligence in Finance - Towards a transparent financial industryca_CA
dc.relationFIN-TECH: A Financial supervision and Technology compliance training programmeca_CA
dc.relation.isPartOfEconomics Letters, 2022, vol. 218ca_CA
dc.rights© 2022 The Authors. Published by Elsevier B.V.ca_CA
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/ca_CA
dc.subjectnetwork analysisca_CA
dc.subjectquantile regressionca_CA
dc.titleCrypto-environment network connectivity and Bitcoin returns distribution tail behaviourca_CA
dc.typeinfo:eu-repo/semantics/articleca_CA
dc.identifier.doihttps://doi.org/10.1016/j.econlet.2022.110734
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca_CA
dc.type.versioninfo:eu-repo/semantics/publishedVersionca_CA
project.funder.nameEuropean Union’s Horizon 2020 COST Actionca_CA
project.funder.nameCoordination and Support Actionca_CA
oaire.awardNumberCA19130ca_CA
oaire.awardNumber825215ca_CA


Ficheros en el ítem

Thumbnail
Nombre:
83573.pdf
Tamaño:
458.9Kb
Formato:
PDF
Descripción:
Versió editorial
Ver/Abrir

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem

© 2022 The Authors. Published by Elsevier B.V.
Excepto si se señala otra cosa, la licencia del ítem se describe como: © 2022 The Authors. Published by Elsevier B.V.