Dutta, Anupam; Bouri, Elie - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-7
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin … are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index … instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in …