How is price explosivity triggered in the cryptocurrency markets?
使用分位数自激阈值自回归模型，研究比特币、瑞波币和恒星币的价格爆炸性如何由前一日价格上涨后的极端高收益尾部触发，并发现莱特币无此现象。
Abstract We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that the explosive behaviour originates from the extreme upper tails of the return distributions following a price increase in the preceding day. We do not find evidence of explositivity in the price of Litecoin.