Can volume predict Bitcoin returns and volatility? A quantiles-based approach
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DOI: 10.1016/j.econmod.2017.03.019
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- Mehmet Balcilar & Elie Bouri & Rangan Gupta & David Roubaud, 2017. "Can volume predict Bitcoin returns and volatility? A quantiles-based approach," Post-Print hal-02008551, HAL.
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More about this item
Keywords
C22; G15; Bitcoin; Volume; Returns; Volatility; Nonparametric quantile causality;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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