Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization

Douglas Eduardo Turatti, Fernando Henrique de Paula e.Silva Mendes*, João Frois Caldeira

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

5 Citations (Scopus)
Original languageEnglish
Article number101252
JournalFinance Research Letters
Volume34
ISSN1544-6123
DOIs
Publication statusPublished - May 2020

Keywords

  • Autoregression tests
  • Gibbs-sampling-augmented randomization
  • Markov-switching models
  • Mean reversion in Bitcoin market

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