Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. GARCH Effects
This paper examines the mixture of distribution properties associated with heteroskedastic excess Bitcoin return data, using the volume of Google search queries as a proxy for the information arrival time, from a monthly data sampling period of June 2010 to May 2019. The results show that the volati...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2019-01-01
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| Series: | Nauki o Finansach |
| Online Access: | https://journals.ue.wroc.pl/fins/article/view/256 |
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