Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components

Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtos...

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Detalles Bibliográficos
Autores principales: Theodossiou, Panayiotis, Ellina, Polina, Savva, Christos S.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8984083/
http://dx.doi.org/10.1007/s11156-022-01055-x
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author Theodossiou, Panayiotis
Ellina, Polina
Savva, Christos S.
author_facet Theodossiou, Panayiotis
Ellina, Polina
Savva, Christos S.
author_sort Theodossiou, Panayiotis
collection PubMed
description Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies.
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spelling pubmed-89840832022-04-06 Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components Theodossiou, Panayiotis Ellina, Polina Savva, Christos S. Rev Quant Finan Acc Original Research Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies. Springer US 2022-04-06 2022 /pmc/articles/PMC8984083/ http://dx.doi.org/10.1007/s11156-022-01055-x Text en © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Original Research
Theodossiou, Panayiotis
Ellina, Polina
Savva, Christos S.
Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
title Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
title_full Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
title_fullStr Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
title_full_unstemmed Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
title_short Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
title_sort stochastic properties and pricing of bitcoin using a gjr-garch model with conditional skewness and kurtosis components
topic Original Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8984083/
http://dx.doi.org/10.1007/s11156-022-01055-x
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