All Outputs (2)

Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets (2018)
Journal Article
Fry, J. (2018). Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets. Economics letters, 171, 225-229. https://doi.org/10.1016/j.econlet.2018.08.008

We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum.... Read More about Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets.

Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests (2018)
Journal Article
El Montasser, G., Naoui, K., & Fry, J. (2018). Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests. Journal of Statistics and Management Systems, 21(1), 93-106. https://doi.org/10.1080/09720510.2017.1401799

This paper uses recently developed sequential ADF tests to distinguish between rational speculative bubbles and explosive fundamentals in the US Stock market. The sequential ADF tests are shown to be more sensitive than the conventional ADF test. Res... Read More about Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests.