Since 2014
Dependency Analysis between Bitcoin and Selected Global Currencies
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Dependency Analysis between Bitcoin and Selected Global Currencies
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| Creator |
Szetela, Beata; Rzeszow Technical University
Mentel, Grzegorz; Rzeszow Technical University Gędek, Stanisław; Rzeszow Technical University |
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| Subject |
ARMA; Bitcoin; Dependency; GARCH; Variability
F31; C32. |
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| Description |
In this research we have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well. We have applied ARMA and GARCH models to model and to analyze the conditional mean and variance. The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while ARMA analysis have shown no relations between bitcoin and other dependent variables.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2016-12-29
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.009
10.12775/DEM.2016.009 |
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| Source |
Dynamic Econometric Models; Vol 16 (2016); 133-144
Dynamic Econometric Models; Vol 16 (2016); 133-144 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.009/10729
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| Rights |
Copyright (c) 2016 Dynamic Econometric Models
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