@techreport{39365811ac2940d8b003b72df1dab4da,
title = "The Economics of Bitcoins: News, Supply vs Demand and Slumps",
abstract = "This paper conducts the first detailed analysis of the dynamics of Bitcoin prices. The application of an autoregressive jump-intensity GARCH model allows one to study the role of both volatility clusters and extreme price movements. The results suggest that the influence of the latter is particularly pronounced - larger than in other markets - and remains largely unchanged over time. These results gain importance as the Bitcoin market only recently emerged and is characterised by a number of distinct market features which imply that there are no uncertainties on the Bitcoin supply-side. Thus, the observed price movements are attributable to demand side factors.",
keywords = "Bitcoins, Jump models, Commodity Pricing",
author = "Marc Gronwald",
year = "2015",
month = dec,
language = "English",
series = "Discussion Paper in Economics",
publisher = "University of Aberdeen: Business School",
number = "17",
type = "WorkingPaper",
institution = "University of Aberdeen: Business School",
}