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dc.contributor.authorKANCS D'ARTISen_GB
dc.contributor.authorCIAIAN PAVELen_GB
dc.contributor.authorRAJCANIOVA MIROSLAVAen_GB
dc.date.accessioned2019-02-09T01:02:16Z-
dc.date.available2019-02-08en_GB
dc.date.available2019-02-09T01:02:16Z-
dc.date.created2019-01-15en_GB
dc.date.issued2019en_GB
dc.date.submitted2018-12-17en_GB
dc.identifier.isbn978-92-79-98570-6 (online)en_GB
dc.identifier.issn1831-9424 (online)en_GB
dc.identifier.otherEUR 29598 ENen_GB
dc.identifier.otherOP KJ-NA-29598-EN-N (online)en_GB
dc.identifier.urihttp://publications.jrc.ec.europa.eu/repository/handle/JRC115098-
dc.description.abstractThis is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and speculative demand equations in a GARCH framework using hourly data for the period 2013-2018. In line with the theoretical model, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically significant impact on the BitCoin price formation. The BitCoin price responds negatively to the BitCoin velocity, whereas positive shocks to the BitCoin stock, interest rate and the size of the BitCoin economy exercise an upward pressure on the BitCoin price.en_GB
dc.description.sponsorshipJRC.D.4-Economics of Agricultureen_GB
dc.format.mediumOnlineen_GB
dc.languageENGen_GB
dc.publisherPublications Office of the European Unionen_GB
dc.relation.ispartofseriesJRC115098en_GB
dc.titleThe Price of BitCoin: GARCH Evidence from High Frequency Dataen_GB
dc.typeEUR - Scientific and Technical Research Reportsen_GB
dc.identifier.doi10.2760/06822 (online)en_GB
JRC Directorate:Sustainable Resources

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