Cryptocurrencies lack clear measures of fundamental values and are often associated with speculative bubbles. This paper introduces a new way of testing for speculative bubbles based on StockTwits sentiment, which is used as the transition variable i...
Cryptocurrencies have recently captured the interest of the econometric literature, with several works trying to address the existence of bubbles in the price dynamics of Bitcoins and other cryptoassets. Extremely rapid price accelerations, often ref...
Although stablecoins occupy a segment of digital-asset markets in which price stability is central by design, their temporary departures from reference values may reveal important information about latent risk and market stress. In this paper, we exa...
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmissi...
In this study, the Log-Periodic Power Law Singularity (LPPLS) model is adopted for real-time identification and monitoring of Bitcoin bubbles and crashes using different time scale data, and the modified Lagrange regularization method is proposed to...
In this study, we examine major cryptocurrencies, present notable fraud cases, describe fraud risks, and analyze cryptocurrency financial performance. People debate whether cryptocurrency is an investment opportunity, the new Dutch Tulip Bubble, or a...
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010–2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic poli...
The Bitcoin market exhibits characteristics of a market with pricing bubbles. The price is very volatile, and it inherits the risk of quickly increasing to a peak and decreasing from the peak even faster. In this context, it is vital for investors to...
This paper explores the economic trends and identifies speculative bubbles within the emerging metaverse, based on the specific example of Decentraland, which is represented by its underlying native token MANA.For comparability, we consider three fur...
Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility clustering. Motivated by these features, we introduce a mixed causal–noncausal invertible–noninvertible autoregressive mov...
Understanding structural regime shifts in crypto asset markets is vital for early detection of systemic risk. This study applies the Generalized Sup Augmented Dickey–Fuller (GSADF) test to daily high-frequency price data of five major crypto as...
This study attempts to investigate the nexus between investor sentiment and cryptocurrencies prices. Our empirical investigation merges bivariate and multivariate wavelet tools to examine the investor sentiment nexus to inter-cryptocurrencies prices....
The rapid development of cryptocurrencies has drawn attention to this particular market, with investors trying to understand its behaviour and researchers trying to explain it. The evolution of cryptocurrencies’ prices showed a kind of bubble a...
In recent years, the cryptocurrency market has been experiencing extreme market stress due to unexpected extreme events such as the COVID-19 pandemic, the Russia and Ukraine war, monetary policy uncertainty, and a collapse in the speculative bubble o...
This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that investors became active participants during the COVID-19 pandemic period an...
This article explores the significance of Bitcoin halving events within the cryptocurrency ecosystem and their impact on market dynamics. While the existing literature addresses the periods before and after Bitcoin halving, as well as financial bubbl...
This paper develops a novel entropy-based framework to quantify tail risk and detect speculative bubbles in financial markets. By integrating extreme value theory with information theory, I introduce the Tail-Weighted Entropy (TWE) measure, which cap...
After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensiv...
This study conducts a bibliometric review of Bitcoin research in the Business and Economics domains, using VOSviewer to visualize network structures and Bidirectional Encoder Representations from Transformers Topic (BERTopic) to derive semantically c...