Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach
This paper reports our findings on the return dynamics of Bitcoin and Ethereum using high-frequency data (minute-by-minute observations) from 2015 to 2022 for Bitcoin and from 2016 to 2022 for Ethereum. The main objective of modeling these two series was to obtain a dynamic estimation of risk premiu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-10-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/20/4395 |