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- W2950328265 abstract "This 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." @default.
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- W2950328265 date "2018-12-22" @default.
- W2950328265 modified "2023-09-22" @default.
- W2950328265 title "The Price of BitCoin: GARCH Evidence from High Frequency Data" @default.
- W2950328265 hasPublicationYear "2018" @default.
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