期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2018
出版社：Centre d'Economie de la Sorbonne
摘要：The aim of this research is to explore the econometric features of Bitcoin-USD rates.Various non-Gaussian models are tted to daily returns in order to underline the uniquecharacteristics of Bitcoin when compared to other more traditional currencies. Marketeciency hypothesis is tested further, and the main reasons for breaches in eciencyare discussed. The main goal of the paper is to assess the presence of bubble e ectsin this market with customized tests able to detect the timing of various bubbles. Theresults show that the Bitcoin prices had two episodes of rapid ination in 2014 and2017.
