Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239110 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-10
Publisher: 
MDPI, Basel
Abstract: 
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010-2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among the most important variables for bitcoin. We also trace strong evidence of bubbly bitcoin behavior in the 2017-2018 period.
Subjects: 
bitcoin
bubble
cryptocurrency
flexible least squares
LASSO
PC-LASSO
principal component
sparse regression
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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