1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/29717
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.authorEllina, Polina-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2023-07-06T12:00:56Z-
dc.date.available2023-07-06T12:00:56Z-
dc.date.issued2022-08-01-
dc.identifier.citationReview of Quantitative Finance and Accounting, 2023, vol. 59, no. 2, pp. 695–716en_US
dc.identifier.issn0924865X-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/29717-
dc.description.abstractUsing 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.en_US
dc.language.isoenen_US
dc.relation.ispartofReview of Quantitative Finance and Accountingen_US
dc.rights© Springer Nature Switzerland AG.en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/-
dc.subjectConditional skewness and kurtosisen_US
dc.subjectSkewness price of risken_US
dc.subjectUpside and downside market probabilitiesen_US
dc.subjectSkewed generalized error distributionen_US
dc.titleStochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis componentsen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1007/s11156-022-01055-xen_US
dc.identifier.scopus2-s2.0-85127700567-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85127700567-
dc.relation.issue2en_US
dc.relation.volume59en_US
cut.common.academicyear2022-2023en_US
dc.identifier.spage695en_US
dc.identifier.epage716en_US
item.fulltextNo Fulltext-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.languageiso639-1en-
crisitem.journal.journalissn1573-7179-
crisitem.journal.publisherSpringer Nature-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
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