Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107282
Authors: 
Gronwald, Marc
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper 5121
Abstract: 
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second, the paper empirically analyses Bitcoin prices using an autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin price are particularly marked by extreme price movements; a behaviour generally observed in immature markets.
Subjects: 
bitcoins
jump models
commodity pricing
JEL: 
C12
C22
C58
G12
Document Type: 
Working Paper

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