Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets?
Yes === We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum. Theoretically, we show that liquidity risk...
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| Language: | en |
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2020
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| Online Access: | http://hdl.handle.net/10454/17568 |