Topical Collection "Recent Developments in Digital Currency: Time Series Analysis, Theory and Practice"

Editor

Prof. Dr. Stephen Satchell
E-Mail Website
Collection Editor
Business School, The University of Sydney, Sydney, NSW 2006, Australia
Interests: econometrics; finance; risk measurement; utility theory
Special Issues and Collections in MDPI journals

Topical Collection Information

Dear Colleagues,

The Special Issue will provide a critical analysis of existing models that make claims for the behaviour of digital currency prices. The most famous example of digital currency is Bitcoin, but there are many other examples and we welcome research on them as well. New models would also be included. Issues related to market structure, such as the introduction of digital currency by central banks and its likely impact on Bitcoin prices, will also be welcome. Whilst the main focus will be on statistical analysis, the SI will be open to research that is broadly in this area.

Prof. Dr. Stephen Satchell
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the collection website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (1 paper)

2021

Article
Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing
J. Risk Financial Manag. 2021, 14(6), 261; https://doi.org/10.3390/jrfm14060261 - 10 Jun 2021
Viewed by 168
Abstract
In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a [...] Read more.
In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a symmetric model is a better fit when applied to Bitcoin futures returns, and also produces more accurate option prices compared to market prices for two out of three expiry dates considered. Full article
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