Artikel
A principal component-guided sparse regression approach for the determination of bitcoin returns
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010-2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among the most important variables for bitcoin. We also trace strong evidence of bubbly bitcoin behavior in the 2017-2018 period.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 2 ; Pages: 1-10 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
bitcoin
bubble
cryptocurrency
flexible least squares
LASSO
PC-LASSO
principal component
sparse regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Panagiōtidēs, Theodōros
Stengos, Thanasēs
Vravosinos, Orestis
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
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doi:10.3390/jrfm13020033
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Panagiōtidēs, Theodōros
- Stengos, Thanasēs
- Vravosinos, Orestis
- MDPI
Entstanden
- 2020
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