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2016 | 16 | 133--144
Tytuł artykułu

Dependency Analysis between Bitcoin and Selected Global Currencies

Treść / Zawartość
Warianty tytułu
Analiza zależności pomiędzy bitcoinem a wybranymi walutami
Języki publikacji
EN
Abstrakty
EN
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. (original abstract)
W badaniach staraliśmy się przeanalizować i określić zależność pomiędzy kursem bitcoina do polskiego złotego, a innymi czołowymi walutami, takimi jak dolar, euro, funt brytyjski i chiński Yuan. Waluty zostały wybrane w oparciu o wielkość wolumenu transakcji do bitcoina. Zastosowaliśmy modele ARMA do modelowania warunkowej średniej oraz modele GARCH do analizy warunkowej wariancji. Wyniki nie wykazały związku pomiędzy logarytmiczną stopą zwrotu z bitcoina do złotówki, a pozostałymi kursami walut w zakresie warunkowej średniej. Natomiast zastosowanie modeli GACH wykazało pewną zależność pomiędzy bitcoinem a innymi walutami, w kontekście modelowania warunkowej wariancji. (abstrakt oryginalny)
Słowa kluczowe
Rocznik
Tom
16
Strony
133--144
Opis fizyczny
Twórcy
  • Rzeszow University of Technology, Poland
  • Rzeszow University of Technology, Poland
  • Rzeszow University of Technology, Poland
Bibliografia
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  • Mills, T. C., Markellos, R. N. (2008), The Econometric Modelling of Financial Time Series (Third Edition), Cambridge University Press.
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  • Plassaras, N. A. (2013), Regulating Digital Currencies: Bringing Bitcoin within the Reach of IMF, Chicago Journal of International Law, 14, 377-408, http://chicagounbound.uchicago.edu/cjil/vol14/iss1/12.
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  • Szetela, B. (2016), The use of control charts in the study of bitcoin's price variability, Kounis L.D. (ed.) Quality Control and Assurance - An Ancient Greek Term Re-Mastered, InTech.
  • Taha, A. S. (2015), Bitcoin: Perils of an Unregulated Global P2P Currency (Transcript of Discussion), Security Protocols XXIII. 9379, 294-306, DOI: http://dx.doi.org/10.1007/978-3-319-26096-9_30.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171455121

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