Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics

Author:

Cretarola Alessandra,Figà-Talamanca Gianna

Funder

Fondazione Cassa di Risparmio di Perugia

University of Perugia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Asymptotic properties of conditional maximum-likelihood estimators;Andersen;J. R. Stat. Soc. Ser. B Stat. Methodol.,1970

2. Regime changes in Bitcoin GARCH volatility dynamics;Ardia;Finance Res. Lett.,2019

3. Do bubbles have an explosive signature in Markov switching models?;Balcombe;Econ. Model.,2017

4. Price dynamics and speculative trading in Bitcoin;Blau;Res. Int. Bus. Finance,2017

5. Is Bitcoin business income or speculative foolery? New ideas through an improved frequency domain analysis;Bouoiyour;Ann. Financial Econ.,2015

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