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Intertemporal asset pricing with bitcoin

This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily bitcoin price data from 2013 until 2020 whereby three...

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Detalles Bibliográficos
Autores principales:	Koutmos, Dimitrios, Payne, James E.
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2020
Materias:	Original Research
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7346581/ http://dx.doi.org/10.1007/s11156-020-00904-x

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