Köchling, Gerrit; Schmidtke, Philipp; Posch, Peter N Volatility forecasting accuracy for Bitcoin Journal Article Economics Letters, 2020. Abstract | Links | BibTeX | Tags: Bitcoin, cryptocurrency, forecasting, volatility @article{Köchling2019b,
title = {Volatility forecasting accuracy for Bitcoin },
author = {Gerrit Köchling and Philipp Schmidtke and Peter N Posch },
url = {https://www.sciencedirect.com/science/article/pii/S0165176519304239?dgcid=author},
year = {2020},
date = {2020-06-01},
journal = {Economics Letters},
abstract = {We analyse the quality of Bitcoin volatility forecasting of GARCH-type
models applying the commonly used volatility proxy based on squared daily
returns as well as a jump-robust proxy based on intra-day returns and vary
the degrees of asymmetry in robust loss functions. We construct model
confidence sets (MCS) which contain superior models with a high probability
and find them to be systematically smaller for asymmetric loss functions
and the jump robust proxy. Our findings suggest a cautious use of GARCH
models in forecasting Bitcoin’s volatility.
},
keywords = {Bitcoin, cryptocurrency, forecasting, volatility},
pubstate = {published},
tppubtype = {article}
}
We analyse the quality of Bitcoin volatility forecasting of GARCH-type
models applying the commonly used volatility proxy based on squared daily
returns as well as a jump-robust proxy based on intra-day returns and vary
the degrees of asymmetry in robust loss functions. We construct model
confidence sets (MCS) which contain superior models with a high probability
and find them to be systematically smaller for asymmetric loss functions
and the jump robust proxy. Our findings suggest a cautious use of GARCH
models in forecasting Bitcoin’s volatility.
|
Köchling, Gerrit; Müller, Janis; Posch, Peter N Does the Introduction of Futures Improve the Efficiency of Bitcoin? Journal Article Finance Research Letters, 30 , pp. 367-370, 2019. Abstract | Links | BibTeX | Tags: Bitcoin, cryptocurrency, institutional investors, Market efficiency @article{GJP2016,
title = {Does the Introduction of Futures Improve the Efficiency of Bitcoin?},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {https://doi.org/10.1016/j.frl.2018.11.006},
year = {2019},
date = {2019-09-01},
journal = {Finance Research Letters},
volume = {30},
pages = {367-370},
abstract = {Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests.},
keywords = {Bitcoin, cryptocurrency, institutional investors, Market efficiency},
pubstate = {published},
tppubtype = {article}
}
Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests. |
Schmidtke, Philipp; Köchling, Gerrit Cryptocurrency Research Conference 2019 Conference University of Southampton, United Kingdom, 2019. BibTeX | Tags: cryptocurrency @conference{Schmidtke2019,
title = {Cryptocurrency Research Conference 2019},
author = {Philipp Schmidtke and Gerrit Köchling},
year = {2019},
date = {2019-06-15},
address = {University of Southampton, United Kingdom},
keywords = {cryptocurrency},
pubstate = {published},
tppubtype = {conference}
}
|
Köchling, Gerrit; Müller, Janis; Posch, Peter N Price delay and market frictions in cryptocurrency markets Journal Article Economics Letters, 174 , pp. 39 - 41, 2019, ISSN: 0165-1765. Abstract | Links | BibTeX | Tags: cryptocurrency, Market efficiency, Price delay @article{KOCHLING201939,
title = {Price delay and market frictions in cryptocurrency markets},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {https://www.sciencedirect.com/science/article/pii/S0165176518304361},
doi = {10.1016/j.econlet.2018.10.025},
issn = {0165-1765},
year = {2019},
date = {2019-01-01},
journal = {Economics Letters},
volume = {174},
pages = {39 - 41},
abstract = {We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.},
keywords = {cryptocurrency, Market efficiency, Price delay},
pubstate = {published},
tppubtype = {article}
}
We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity. |