An Empirical Analysis of Bitcoin Price Jump Risk
Given that there are both continuous and discontinuous components in the movement of asset prices, existing asset pricing models that assume only continuous price movements should be revised. In this paper, we explore the features of jumps, which are discontinuous movements, by examining Bitcoin pri...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-04-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/11/7/2012 |