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Title: Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Authors: Theodossiou, Panayiotis 
Ellina, Polina 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Conditional skewness and kurtosis;Skewness price of risk;Upside and downside market probabilities;Skewed generalized error distribution
Issue Date: 1-Aug-2022
Source: Review of Quantitative Finance and Accounting, 2023, vol. 59, no. 2, pp. 695–716
Volume: 59
Issue: 2
Start page: 695
End page: 716
Journal: Review of Quantitative Finance and Accounting 
Abstract: Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies.
ISSN: 0924865X
DOI: 10.1007/s11156-022-01055-x
Rights: © Springer Nature Switzerland AG.
Type: Article
Affiliation : Cyprus University of Technology 
Appears in Collections:Άρθρα/Articles

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