{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,8]],"date-time":"2026-01-08T16:48:09Z","timestamp":1767890889145,"version":"3.49.0"},"reference-count":32,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2021,10,15]],"date-time":"2021-10-15T00:00:00Z","timestamp":1634256000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"},{"start":{"date-parts":[[2021,10,15]],"date-time":"2021-10-15T00:00:00Z","timestamp":1634256000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2021,12]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that the explosive behaviour originates from the extreme upper tails of the return distributions following a price increase in the preceding day. We do not find evidence of explositivity in the price of Litecoin.<\/jats:p>","DOI":"10.1007\/s10479-021-04298-4","type":"journal-article","created":{"date-parts":[[2021,10,15]],"date-time":"2021-10-15T14:28:36Z","timestamp":1634308116000},"page":"37-51","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["How is price explosivity triggered in the cryptocurrency markets?"],"prefix":"10.1007","volume":"307","author":[{"given":"Yuzhi","family":"Cai","sequence":"first","affiliation":[]},{"given":"Thanaset","family":"Chevapatrakul","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3776-0420","authenticated-orcid":false,"given":"Danilo V.","family":"Mascia","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2021,10,15]]},"reference":[{"key":"4298_CR1","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/j.econlet.2017.09.013","volume":"161","author":"AF Bariviera","year":"2017","unstructured":"Bariviera, A. F. (2017). The inefficiency of bitcoin revisited: A dynamic approach. Economics Letters, 161, 1\u20134.","journal-title":"Economics Letters"},{"key":"4298_CR2","doi-asserted-by":"publisher","first-page":"148","DOI":"10.1016\/j.econlet.2018.10.008","volume":"173","author":"DG Baur","year":"2018","unstructured":"Baur, D. G., & Dimpfl, T. (2018). Asymmetric volatility in cryptocurrencies. Economics Letters, 173, 148\u2013151.","journal-title":"Economics Letters"},{"key":"4298_CR3","doi-asserted-by":"publisher","first-page":"177","DOI":"10.1016\/j.intfin.2017.12.004","volume":"54","author":"DG Baur","year":"2018","unstructured":"Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177\u2013189.","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"key":"4298_CR4","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/j.jempfin.2018.11.002","volume":"50","author":"N Borri","year":"2019","unstructured":"Borri, N. (2019). Conditional tail-risk in cryptocurrency markets. Journal of Empirical Finance, 50, 1\u201319.","journal-title":"Journal of Empirical Finance"},{"key":"4298_CR5","doi-asserted-by":"publisher","first-page":"178","DOI":"10.1016\/j.frl.2018.07.005","volume":"29","author":"E Bouri","year":"2019","unstructured":"Bouri, E., Shahzad, S. J. H., & Roubaud, D. (2019). Co-explosivity in the cryptocurrency market. Finance Research Letters, 29, 178\u2013183.","journal-title":"Finance Research Letters"},{"key":"4298_CR6","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1111\/1467-9884.00117","volume":"47","author":"SP Brooks","year":"1998","unstructured":"Brooks, S. P. (1998). Markov chain Monte Carlo method and its application. The Statistician, 47, 69\u2013100.","journal-title":"The Statistician"},{"key":"4298_CR7","doi-asserted-by":"publisher","first-page":"398","DOI":"10.1016\/j.frl.2018.09.007","volume":"29","author":"EC Cagli","year":"2019","unstructured":"Cagli, E. C. (2019). Explosive behavior in the prices of Bitcoin and altcoins. Finance Research Letters, 29, 398\u2013403.","journal-title":"Finance Research Letters"},{"key":"4298_CR8","doi-asserted-by":"publisher","first-page":"186","DOI":"10.1111\/j.1467-9892.2007.00551.x","volume":"29","author":"Y Cai","year":"2008","unstructured":"Cai, Y., & Stander, J. (2008). Quantile self-exciting threshold autoregressive time series models. Journal of Time Series Analysis, 29, 186\u2013202.","journal-title":"Journal of Time Series Analysis"},{"key":"4298_CR9","doi-asserted-by":"publisher","first-page":"158","DOI":"10.1016\/j.econlet.2018.10.011","volume":"173","author":"P Chaim","year":"2018","unstructured":"Chaim, P., & Laurini, M. P. (2018). Volatility and return jumps in bitcoin. Economics Letters, 173, 158\u2013163.","journal-title":"Economics Letters"},{"key":"4298_CR10","doi-asserted-by":"publisher","first-page":"81","DOI":"10.1016\/j.frl.2017.12.006","volume":"26","author":"S Corbet","year":"2018","unstructured":"Corbet, S., Lucey, B., & Yarovaya, L. (2018a). Datestamping the Bitcoin and Ethereum bubbles. Finance Research Letters, 26, 81\u201388.","journal-title":"Finance Research Letters"},{"key":"4298_CR11","doi-asserted-by":"publisher","first-page":"28","DOI":"10.1016\/j.econlet.2018.01.004","volume":"165","author":"S Corbet","year":"2018","unstructured":"Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018b). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28\u201334.","journal-title":"Economics Letters"},{"key":"4298_CR12","doi-asserted-by":"crossref","unstructured":"Cretarola, A., & Fig\u00e0-Talamanca, G. (2021). Detecting bubbles in Bitcoin price dynamics via market exuberance. Annals of Operations Research, 299, 459\u2013479.","DOI":"10.1007\/s10479-019-03321-z"},{"key":"4298_CR13","doi-asserted-by":"publisher","first-page":"225","DOI":"10.1016\/j.econlet.2018.08.008","volume":"171","author":"J Fry","year":"2018","unstructured":"Fry, J. (2018). Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? Economics Letters, 171, 225\u2013229.","journal-title":"Economics Letters"},{"key":"4298_CR14","doi-asserted-by":"publisher","first-page":"86","DOI":"10.1016\/j.jmoneco.2017.12.004","volume":"95","author":"N Gandal","year":"2018","unstructured":"Gandal, N., Hamrick, J. T., Moore, T., & Oberman, T. (2018). Price manipulation in the Bitcoin ecosystem. Journal of Monetary Economics, 95, 86\u201396.","journal-title":"Journal of Monetary Economics"},{"key":"4298_CR15","doi-asserted-by":"publisher","first-page":"109","DOI":"10.1016\/j.econlet.2018.01.020","volume":"164","author":"K Gkillas","year":"2018","unstructured":"Gkillas, K., & Katsiampa, P. (2018). An application of extreme value theory to cryptocurrencies. Economics Letters, 164, 109\u2013111.","journal-title":"Economics Letters"},{"key":"4298_CR16","doi-asserted-by":"publisher","first-page":"86","DOI":"10.1016\/j.jimonfin.2019.06.006","volume":"97","author":"M Gronwald","year":"2019","unstructured":"Gronwald, M. (2019). Is Bitcoin a commodity? On price jumps, demand shocks, and certainty of supply. Journal of International Money and Finance, 97, 86\u201392.","journal-title":"Journal of International Money and Finance"},{"key":"4298_CR17","doi-asserted-by":"crossref","unstructured":"Gronwald, M. (2021). How explosive are cryptocurrency prices? Finance Research Letters, 38, 101603.","DOI":"10.1016\/j.frl.2020.101603"},{"key":"4298_CR18","doi-asserted-by":"publisher","first-page":"191","DOI":"10.1007\/s10479-019-03357-1","volume":"297","author":"R Hudson","year":"2021","unstructured":"Hudson, R., & Urquhart, A. (2021). Technical trading and cryptocurrencies. Annals of Operations Research, 297, 191\u2013220.","journal-title":"Annals of Operations Research"},{"key":"4298_CR19","doi-asserted-by":"publisher","first-page":"257","DOI":"10.1016\/j.irfa.2018.12.002","volume":"63","author":"Q Ji","year":"2019","unstructured":"Ji, Q., Bouri, E., Lau, C. K. M., & Roubaud, D. (2019). Dynamic connectedness and integration in cryptocurrency markets. International Review of Financial Analysis, 63, 257\u2013272.","journal-title":"International Review of Financial Analysis"},{"key":"4298_CR20","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1016\/j.econlet.2017.06.023","volume":"158","author":"P Katsiampa","year":"2017","unstructured":"Katsiampa, P. (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3\u20136.","journal-title":"Economics Letters"},{"key":"4298_CR21","doi-asserted-by":"publisher","first-page":"35","DOI":"10.1016\/j.intfin.2019.05.003","volume":"62","author":"P Katsiampa","year":"2019","unstructured":"Katsiampa, P., Corbet, S., & Lucey, B. (2019a). High frequency volatility co-movements in cryptocurrency markets. Journal of International Financial Markets, Institutions and Money, 62, 35\u201352.","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"key":"4298_CR22","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/j.econlet.2019.108714","volume":"185","author":"P Katsiampa","year":"2019","unstructured":"Katsiampa, P., Moutsianas, K., & Urquhart, A. (2019b). Information demand and cryptocurrency market activity. Economics Letters, 185, 1\u20135.","journal-title":"Economics Letters"},{"key":"4298_CR23","doi-asserted-by":"publisher","first-page":"26","DOI":"10.1016\/j.econlet.2018.03.005","volume":"167","author":"S Khuntia","year":"2018","unstructured":"Khuntia, S., & Pattanayak, J. K. (2018). Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, 26\u201328.","journal-title":"Economics Letters"},{"key":"4298_CR24","doi-asserted-by":"crossref","unstructured":"King, T., & Koutmos, D. (2021). Herding and feedback trading in cryptocurrency markets. Annals ofOperations Research, 300, 79\u201396.","DOI":"10.1007\/s10479-020-03874-4"},{"key":"4298_CR25","doi-asserted-by":"crossref","unstructured":"Koenker, R. (2005). Quantile Regression. Cambridge University Press.","DOI":"10.1017\/CBO9780511754098"},{"key":"4298_CR26","doi-asserted-by":"publisher","first-page":"122","DOI":"10.1016\/j.econlet.2018.10.004","volume":"173","author":"D Koutmos","year":"2018","unstructured":"Koutmos, D. (2018). Return and volatility spillovers among cryptocurrencies. Economics Letters, 173, 122\u2013127.","journal-title":"Economics Letters"},{"key":"4298_CR27","doi-asserted-by":"publisher","first-page":"6","DOI":"10.1016\/j.econlet.2016.10.033","volume":"150","author":"S Nadarajah","year":"2017","unstructured":"Nadarajah, S., & Chu, J. (2017). On the inefficiency of Bitcoin. Economics Letters, 150, 6\u20139.","journal-title":"Economics Letters"},{"key":"4298_CR28","doi-asserted-by":"publisher","first-page":"220","DOI":"10.1016\/j.irfa.2018.11.002","volume":"63","author":"T Panagiotidis","year":"2019","unstructured":"Panagiotidis, T., Stengos, T., & Vravosinos, O. (2019). The effects of markets, uncertainty and search intensity on bitcoin returns. International Review of Financial Analysis, 63, 220\u2013242.","journal-title":"International Review of Financial Analysis"},{"key":"4298_CR29","doi-asserted-by":"crossref","unstructured":"Scaillet, O., Treccani, A., & Trevisan, C. (2018). High-frequency jump analysis of the bitcoin market. Journal of Financial Econometrics pp.\u00a01\u201324.","DOI":"10.1093\/jjfinec\/nby013"},{"key":"4298_CR30","doi-asserted-by":"publisher","first-page":"80","DOI":"10.1016\/j.econlet.2016.09.019","volume":"148","author":"A Urquhart","year":"2016","unstructured":"Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80\u201382.","journal-title":"Economics Letters"},{"key":"4298_CR31","doi-asserted-by":"publisher","first-page":"21","DOI":"10.1016\/j.econlet.2018.04.003","volume":"168","author":"WC Wei","year":"2018","unstructured":"Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168, 21\u201324.","journal-title":"Economics Letters"},{"key":"4298_CR32","doi-asserted-by":"publisher","first-page":"622","DOI":"10.1080\/07474938.2010.481972","volume":"29","author":"PLH Yu","year":"2010","unstructured":"Yu, P. L. H., Li, W. K., & Jin, S. (2010). On some models for value at risk. Econometric Reviews, 29, 622\u2013641.","journal-title":"Econometric Reviews"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-021-04298-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-021-04298-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-021-04298-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,1,12]],"date-time":"2023-01-12T10:44:49Z","timestamp":1673520289000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-021-04298-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,10,15]]},"references-count":32,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2021,12]]}},"alternative-id":["4298"],"URL":"https:\/\/doi.org\/10.1007\/s10479-021-04298-4","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,10,15]]},"assertion":[{"value":"9 September 2021","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"15 October 2021","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}