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東海大學統計學系--演講公告-【學術演講公告】111年4月19日(二)

【學術演講公告】111年4月19日(二)

  • 單位 : 統計學系
  • 分類 : 演講公告
  • 點閱 : 411
  • 日期 : 2022-04-01
時  間:111年4月19日(星期二下午14:10~15:00)
地  點:管理學院新大樓M242
主講人:顏廣杰 教授 (東吳大學 經濟學系)
講  題:Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets

Abstract
  This study investigates the relationship between the daily returns of cryptocurrencies and their realized performance measure and moments (variance, skewness, and kurtosis). Because the cryptocurrency returns are non-Gaussian distributions and perform bubble-like behaviors, we adopt the performance measure proposed by Schnytzer and Westreich (2013) to capture all informational content related to the distribution of a return. First, the empirical results revealed that there is a positive relationship between the realized performance measure and daily returns. Furthermore, this realized performance measure dominates the realized variance, skewness, and kurtosis in terms of affecting and predicting Bitcoin and Ethereum daily returns.