Volatility behavior of virtual currencies

• Andrade, Jéssica Gonçalves ^[1] ; Brandalise, Nilson ^[1]
  1. [1] Universidade Federal Fluminense

     Universidade Federal Fluminense

     Brasil

     
• Localización: Independent Journal of Management & Production, ISSN-e 2236-269X, Vol. 10, Nº. 2 (March - April), 2019, págs. 537-547
• Idioma: inglés
• DOI: 10.14807/ijmp.v10i2.852
• Enlaces
  • Texto completo (pdf)
• Resumen

  • In order to do a volatility analysis, since the exchange rate is higher than the average risk, the higher the average rate of return, the higher the average growth rate of the year. applied the method of data analysis. An attempt to volatility analysis can be made in one year, in the middle of the end of 2016.

• Referencias bibliográficas
  • BARUNIK, J.; VACHA, L. (2018) Do co-jumps impact correlations in currency markets? Journal of Financial Markets, v. 37, p. 97–119.
  • BORRI, N. (2017) Local currency systemic risk. Emerging Markets Review, v. 34, p. 111–123.
  • CHIPERE, M. (2018) Virtual currency as an inclusive monetary innovation for the unbanked poor. Electronic Commerce Research and Applications,...
  • VIDAL-TOMÁSA, A. I. D. (2018) Semi-strong efficiency of Bitcoin. Finance Research Letters, n. March.
  • DIBROVA, A. (2016) Virtual Currency: New Step in Monetary Development. Procedia - Social and Behavioral Sciences, v. 229, p. 42–49.
  • DONG; MUYI; WUQING. (2014) On dynamics of volatilities in nonstationary GARCH models. Statistics and Probability Letters, v. 94, p. 86–90.
  • FENG, W.; WANG, Y.; ZHANG, Z. (2017) Informed trading in the Bitcoin market. Finance Research Letters, n. November, p. 0–1.
  • FOBE, N. J. (2016) O bitcoin como moeda paralela – uma visão econômica e a multiplicidade de desdobramentos jurídicos. Dissertação de Mestrado,...
  • GEORGETA, ȘOAVĂ. (2016) Virtual currency “bitcoin” – challenges and controversies. n. 3, p. 248–259.
  • HARTWELL, C. A. (2018) The impact of institutional volatility on financial volatility in transition economies. Journal of Comparative Economics,...
  • JIANG, W. et al. (2018) Modeling returns volatility: Realized GARCH incorporating realized risk measure. Physica A: Statistical Mechanics...
  • KATSIAMPA, P. (2017) Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, v. 158, p. 3–6.
  • KIM, T. (2017) On the transaction cost of Bitcoin. Finance Research Letters, v. 23, p. 300–305.
  • KUBÁT, M. (2015) Virtual Currency Bitcoin in the Scope of Money Definition and Store of Value. Procedia Economics and Finance, v. 30, n. 15,...
  • LAHMIRI, S.; BEKIROS, S.; SALVI, A. (2018) Long-range memory, distributional variation and randomness of bitcoin volatility. Chaos, Solitons...
  • MOORE, T. (2013) The promise and perils of digital currencies. International Journal of Critical Infrastructure Protection, v. 6, n. 3–4,...
  • PINHO;, F. M. DE M. A. DE C. J. M. F. (2016) Uma revisão da literatura sobre modelos de volatilidade em estudos brasileiros. Revista de Administração...
  • RAHMAN, A. J. (2018) Deflationary Policy under Digital and Fiat Currency Competition. Research in Economics, v. 72, n. 2, p. 171–180.
  • VAL, F.; PINTO, A.; KLOTZLE, M. (2014) Volatilidade e Previsão de Retorno com Modelos de Alta Frequência e GARCH: Evidências para o Mercado...
  • YAN, L. (2018) Tudo sobre Ethereum: A Mãe das Aplicações Descentralizadas, Available in: < https://portaldobitcoin.com/tudo-sobre-ethereum/>....