Do Cryptocurrency Prices Camouflage Latent Economic Effects? A Bayesian Hidden Markov Approach

Do Cryptocurrency Prices Camouflage Latent Economic Effects? A Bayesian Hidden Markov Approach

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We study the Bitcoin and Ether price series under a financial perspective. Specifically, we use two econometric models to perform a two-layer analysis to study the correlation and prediction of Bitcoin and Ether price series with traditional assets. In the first part of this study, we model the prob...

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Bibliographic Details
Main Authors: Constandina Koki, Stefanos Leonardos, Georgios Piliouras
Format: Article
Language:English
Published: MDPI AG 2020-03-01
Series:Future Internet
Subjects:
cryptocurrencies
bitcoin
ethereum
bayesian modeling
logistic regression
non-homogeneous hidden markov models
variables selection
forecasting
Online Access:https://www.mdpi.com/1999-5903/12/3/59

Internet

https://www.mdpi.com/1999-5903/12/3/59

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