Alexander, C and Dakos, M (2019) A critical investigation of cryptocurrency data and analysis. Quantitative Finance. ISSN 1469-7688

PDF (This is an Accepted Manuscript of an article published by Taylor & Francis Group in Journal Quantitative Finance on 08/08/2019, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2019.1641347) - Accepted Version Restricted to SRO admin only until 8 February 2021. Download (643kB)

Abstract

Less than half the crytocurrency papers published since January 2017 employ correct data.

Item Type:	Article
Keywords:	Cryptocurrency; Cryptoasset; Price data; Market beta; Markov switching GARCH; Volatility
Schools and Departments:	School of Business, Management and Economics > Business and Management
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > HG0201 Money
Depositing User:	Carol Alexander
Date Deposited:	09 Aug 2019 09:43
Last Modified:	09 Aug 2019 09:45
URI:	http://sro.sussex.ac.uk/id/eprint/85379

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