This paper introduces a stochastic volatility model with an independent self-exciting jump
structure model (SE-SVIJ) to capture the jump dynamics of cryptocurrency daily returns. The …

This paper examines the impacts of Bitcoin futures trading on the jump risk of spot market.
Based on 5-min high-frequency data, we use a nonparametric method to detect Lévy-type …

Jump dynamics in financial markets exhibit significant complexity, often resulting in
increased probabilities of subsequent jumps, akin to earthquake aftershocks. This study …

Publicly available information plays a crucial role in shaping cryptocurrency investor
sentiments. Past literature has used various measures to proxy sentiment. In this study, we …

In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options,
which is timely and important given that both Nasdaq and the CME Group have started to …

Cryptocurrency markets have recently attracted significant attention due to their potential for
high returns; however, their underlying dynamics, especially those concerning price jumps …