
handle: 20.500.14279/29717
Using 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.
Economics and Business, Skewed generalized error distribution, Skewness price of risk, Social Sciences, Upside and downside market probabilities, Conditional skewness and kurtosis, Original Research
Economics and Business, Skewed generalized error distribution, Skewness price of risk, Social Sciences, Upside and downside market probabilities, Conditional skewness and kurtosis, Original Research
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