The dependence structure and co-movement of Cryptocurrency based Bayesian approach

Abstract

© Published under licence by IOP Publishing Ltd. 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.