Open AccessThe dependence structure and co-movement of Cryptocurrency based Bayesian approach
Author(s) -
Anuphak Saosaovaphak Chukiat Chaiboonsri,
Satawat Wannapan
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1593/1/012010
Subject(s) - cryptocurrency , econometrics , bayesian probability , digital currency , computer science , dominance (genetics) , economics , artificial intelligence , computer security , biochemistry , chemistry , world wide web , payment , gene
Cryptocurrencies are unique and extra-ordinary currencies which to be econometrically forced into the linear model due to their systematic complexity and extreme movements. This paper was conducted to provide an alternative analysis as a solution for escaping the restrictions of traditional linear assumptions. Five predominant digital currencies such as Bitcoin (BTC), Stellar network (XLM), Litecoin (LTC), Ethereum Classic (ETC), and IOTA were chosen to be employed in the multiple processes based on Bayesian approaches. Market dominance and data regime classifications are the essential components that lead to successfully investigate the dependent structures and co-movements in the digital financial market. The empirical findings could assume that the modern time-series data was meticulously estimated by the flexible modern tool. Bayesian statistics and simulations have the sufficient potency as the suitable solution.