A hidden Markov model is proposed for the analysis of time-series of daily log-returns of the last 4 years of Bitcoin, Ethereum, Ripple, Litecoin, and Bitcoin Cash. These log-returns are assumed to have a multivariate Gaussian distribution conditionally on a latent Markov process having a finite number of regimes or states. The hidden regimes represent different market phases identified through distinct vectors of expected values and variance–covariance matrices of the log-returns, so that they also differ in terms of volatility. Maximum-likelihood estimation of the model parameters is carried out by the expectation–maximisation algorithm, and regimes are singularly predicted for every time occasion according to the maximum-a-posteriori rule. Results show three positive and three negative phases of the market. In the most recent period, an increasing tendency towards positive regimes is also predicted. A rather heterogeneous correlation structure is estimated, and evidence of structural medium term trend in the correlation of Bitcoin with the other cryptocurrencies is detected.
Pennoni, F., Bartolucci, F., Forte, G., & Ametrano, F. (2022). Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model. ECONOMIC NOTES, 51(1 (February 2022)), 1-16 [10.1111/ecno.12193].
Citazione: | Pennoni, F., Bartolucci, F., Forte, G., & Ametrano, F. (2022). Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model. ECONOMIC NOTES, 51(1 (February 2022)), 1-16 [10.1111/ecno.12193]. | |
Tipo: | Articolo in rivista - Articolo scientifico | |
Carattere della pubblicazione: | Scientifica | |
Presenza di un coautore afferente ad Istituzioni straniere: | No | |
Titolo: | Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model | |
Autori: | Pennoni, F; Bartolucci, F; Forte, G; Ametrano, F | |
Autori: | ||
Data di pubblicazione: | 2022 | |
Lingua: | English | |
Rivista: | ECONOMIC NOTES | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1111/ecno.12193 | |
Appare nelle tipologie: | 01 - Articolo su rivista |