1,918
Views
23
CrossRef citations to date
0
Altmetric
Research Article

Predicting cryptocurrency defaults

&

References

  • Altman, E. 1968. “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.” Journal of Finance 23: 189–209.
  • Altman, E. 1983. Corporate Financial Distress. New York: Wiley Interscience.
  • Altman, E. 2000, “Predicting Financial Distress of Companies: Revisiting the Z-score and Zeta Models.” New York University Working Paper.
  • Altman, E. 2002. “Revisiting Credit Scoring Models in a Basel 2 Environment.” Salomon Center for the Study of Financial Institutions 2: 2–37.
  • Altman, E., J. Hartzell, and M. Peck. 1995. Emerging Markets Corporate Bonds: A Scoring System. New York: Wiley and Sons.
  • Altman, E. I. 2018. “Applications of Distress Prediction Models: What Have We Learnt after 50 Years from the Z-Score Models?” International Journal of Financial Studies 6: 1–15. doi:10.3390/ijfs6030070.
  • Altman, E. I., A. Danovi, and A. Falini. 2013. “Z-Score Models’ Application to Italian Companies Subject to Extraordinary Administration.” Journal of Applied Finance 23: 128–137.
  • Altman, E. I., and H. Rijken. 2010. “Assessing Sovereign Debt Default Risk: A Bottom-up Approach.” Journal of Applied Corporate Finance 41: 1–30.
  • Altman, E. I., R. G. Haldeman, and P. Narayanan. 1977. “ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations.” Journal of Banking and Finance 1 (1): 129–154.
  • Ardia, D., K. Bluteau, and M. Rüede. 2018. “Regime Changes in Bitcoin GARCH Volatility Dynamics.” Finance Research Letters 29: 266–271. doi:10.1016/j.frl.2018.08.009.
  • Balcilar, M., E. Bouri, R. Gupta, and D. Roubaud. 2017. “Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-based Approach.” Economic Modelling 64: 74–81.
  • Baur, D. G., and T. Dimpfl. 2018. “Asymmetric Volatility in Cryptocurrencies.” Economics Letters 173: 148–151. doi:10.1016/j.econlet.2018.10.008.
  • Borri, N. 2019. “Conditional Tail-risk in Cryptocurrency Markets.” Journal of Empirical Finance 50: 1–19. doi:10.1016/j.jempfin.2018.11.002.
  • Catania, L., S. Grassi, and F. Ravazzolo. 2019. “Forecasting Cryptocurrencies under Model and Parameter Instability.” International Journal of Forecasting 35: 485–501. doi:10.1016/j.ijforecast.2018.09.005.
  • Chaim, P., and M. P. Laurini. 2019. “Is Bitcoin a Bubble?” Physica A: Statistical Mechanics and Its Applications 517: 222–232. doi:10.1016/j.physa.2018.11.031.
  • Cheah, E. T., and J. Fry. 2015. “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin.” Economics Letters 130: 32–36. doi:10.1016/j.econlet.2015.02.029.
  • Dwyer, G. P. 2015. “The Economics of Bitcoin and Similar Private Digital Currencies.” Journal of Financial Stability 17: 81–91. doi:10.1016/j.jfs.2014.11.006.
  • Dyhrberg, A. H. 2016. “Hedging Capabilities of Bitcoin. Is It the Virtual Gold?” Finance Research Letters 16: 139–144. doi:10.1016/j.frl.2015.10.025.
  • Fry, J., and E. T. Cheah. 2016. “Negative Bubbles and Shocks in Cryptocurrency Markets.” International Review of Financial Analysis 47: 343–352. doi:10.1016/j.irfa.2016.02.008.
  • Godfrey, L. 2009. Bootstrap Test for Regression Models. New York: Palgrave MacMillan.
  • Howell, S. T., M. Niessner, and D. Yermack 2019. “Initial Coin Offerings: Financing Growth with Cryptocurrency Token Sales.” Working paper, Leonard N. Stern School of Business.
  • Katsiampa, P. 2017. “Volatility Estimation for Bitcoin: A Comparison of GARCH Models.” Economics Letters 158: 3–6. doi:10.1016/j.econlet.2017.06.023.
  • Kethineni, S., and Y. Cao. 2019. “The Rise in Popularity of and Associated Criminal Activity.” International Criminal Justice Review 105756771982705. forthcomingCryptocurrency. doi:10.1177/1057567719827051.
  • Lahmiri, S., and S. Bekiros. 2019. “Cryptocurrency Forecasting with Deep Learning Chaotic Neural Networks.” Chaos, Solutions and Fractals 118: 35–40. doi:10.1016/j.chaos.2018.11.014.
  • Li, -Z.-Z., R. Tao, C.-W. Su, and O.-R. Lobont. 2019. “Does Bitcoin Bubble Burst?” Quality and Quantity 53: 91–105. doi:10.1007/s11135-018-0728-3.
  • Lugovskaya, L. 2010. “Predicting Default of Russian Smes on the Basis of Financial and Non-financial Variables.” Journal of Financial Services Marketing 14 (4): 301–313.
  • Maume, P. 2019. “Initial Coin Offerings and EU Prospectus Disclosure.” European Business Law Review 31 (2): 185–208.
  • Omane-Adjepong, M., P. Alagidede, and N. K. Akosah. 2019. “Wavelet Time-scale Persistence Analysis of Cryptocurrency Market Returns and Volatility.” Physica A: Statistical Mechanics and Its Applications 514: 105–120. doi:10.1016/j.physa.2018.09.013.
  • Osterrieder, J., and J. Lorenz. 2017. “A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behavior.” Annals of Financial Economics 12: 1750003. doi:10.1142/S2010495217500038.
  • Rauchs, M., and G. Hileman, 2017. Global Cryptocurrency Benchmarking Study (No. 201704-gcbs). Cambridge Centre for Alternative Finance, Cambridge Judge Business School, University of Cambridge.
  • Satish, Y. M., and B. Janakiram. 2011. “Turnaround Strategy Using Altman Model as a Tool in Solar Water Heater Industry in Karnataka.” International Journal of Business and Management 6: 199–206.
  • Shen, D., A. Urquhart, and P. Wang. 2019. “Does Twitter Predict Bitcoin?” Economics Letters 174: 118–122. doi:10.1016/j.econlet.2018.11.007.
  • Snedecor, G. W., and W. G. Cochran. 1989. Statistical Methods. Eighth ed. Ames (Iowa), USA: Iowa State University Press.
  • Urquhart, A. 2016. “The Inefficiency of Bitcoin.” Economics Letters 148: 80–82. doi:10.1016/j.econlet.2016.09.019.
  • Wang, Y., and M. Campbell. 2010. “Do Bankruptcy Models Really Have Predictive Ability? Evidence Using China Publicly Listed Companies.” International Management Review 6 (2).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.