Πτυχιακή εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2021.
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Η βιβλιοθήκη διαθέτει αντίτυπο της πτυχιακής μόνο σε ηλεκτρονική μορφή.
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Submitted by ΠΑΝΤΕΛΕΗΜΩΝ ΚΙΡΜΙΖΗΣ (
[email protected]) on 2021-09-15T10:02:24Z
No. of bitstreams: 3
license_rdf: 701 bytes, checksum: 42fd4ad1e89814f5e4a476b409eb708c (MD5)
Potential drivers of Bitcoin returns. Evidence within a LASSO framework.pdf: 3138780 bytes, checksum: ba7d81248dfb7c7a0ef612fbb397a097 (MD5)
ΔΙΠΛΩΜΑΤΙΚΗ ΕΡΓΑΣΙΑ ΚΙΡΜΙΖΗ ΠΑΝΤΕΛΕΗΜΩΝ Α.Μ. eco18085 ΤΜΗΜΑ Ο.Ε. .pdf: 126083 bytes, checksum: b940a1bd686bcbda06d143d41f93c4b9 (MD5)
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Made available in DSpace on 2021-09-20T08:32:59Z (GMT). No. of bitstreams: 3
license_rdf: 701 bytes, checksum: 42fd4ad1e89814f5e4a476b409eb708c (MD5)
Potential drivers of Bitcoin returns. Evidence within a LASSO framework.pdf: 3138780 bytes, checksum: ba7d81248dfb7c7a0ef612fbb397a097 (MD5)
ΔΙΠΛΩΜΑΤΙΚΗ ΕΡΓΑΣΙΑ ΚΙΡΜΙΖΗ ΠΑΝΤΕΛΕΗΜΩΝ Α.Μ. eco18085 ΤΜΗΜΑ Ο.Ε. .pdf: 126083 bytes, checksum: b940a1bd686bcbda06d143d41f93c4b9 (MD5)
Previous issue date: 2021-07
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Approved for entry into archive by Κυριακή Μπαλτά (
[email protected]) on 2021-09-20T08:32:59Z (GMT) No. of bitstreams: 3
license_rdf: 701 bytes, checksum: 42fd4ad1e89814f5e4a476b409eb708c (MD5)
Potential drivers of Bitcoin returns. Evidence within a LASSO framework.pdf: 3138780 bytes, checksum: ba7d81248dfb7c7a0ef612fbb397a097 (MD5)
ΔΙΠΛΩΜΑΤΙΚΗ ΕΡΓΑΣΙΑ ΚΙΡΜΙΖΗ ΠΑΝΤΕΛΕΗΜΩΝ Α.Μ. eco18085 ΤΜΗΜΑ Ο.Ε. .pdf: 126083 bytes, checksum: b940a1bd686bcbda06d143d41f93c4b9 (MD5)
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This thesis examines the relationship between bitcoin returns and 36 potential explanatory
variables. We first present in brief how bitcoin operates, its history, and its uses. Afterward,
we present an extensive review of the literature. We use a GARCH filter in order to deal
with the effects of volatility clustering in our models. To capture the effects of technical
factors, market forces of bitcoin’s supply and demand, investors’ attractiveness to bitcoin,
and global macroeconomic and financial indicators, we employ a LASSO regression due
to its ability to perform both variable selection and regularization in the analysis. We
estimate models for the period 2013-2020 (full sample), and 3 sub-periods of it separately.
Our results reveal policy uncertainty and exchange rates as the most consistent, important
drivers of bitcoin returns.
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University of Macedonia
