Bitcoin's return behaviour: What do We know so far?

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we study the daily return behavior of Bitcoin digital currency. We propose the use of generalized hyperbolic distributions (GH) to model Bitcoin's return. Our, results show that GH is a very good candidate to model this return.

Keywords: Bitcoin; Cryptocurrency; Jumps; Generalized Hyperbolic distributions. (search for similar items in EconPapers)
JEL-codes: C01 C02 C58 G0 (search for similar items in EconPapers)
Date: 2019-04-03, Revised 2019-04-16
New Economics Papers: this item is included in nep-fmk, nep-mon, nep-ore and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:93353

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