Can VPIN aid to forecast crashes in Bitcoin?
碩士 === 國立交通大學 === 財務金融研究所 === 107 === This study focuses on whether VPIN has the ability to predict the crash in the bitcoin market. We use the NCSKEW (Negative coefficient of skewness) proposed by Chen et al. (2001) to indicate the crash. Our results show that in the short term, VPIN and lagging re...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/84942r |