Outliers and time-varying jumps in the cryptocurrency markets

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 3 ; Pages: 1-7 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Bitcoin ; cryptocurrencies ; outliers ; GARCH-jump ; time-varying jumps

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dutta, Anupam ; Bouri, Elie
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2022

Weitere Informationen

• DOI: doi:10.3390/jrfm15030128
• Handle: http://hdl.handle.net/10419/258851
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ