Power-law return-volatility cross-correlations of Bitcoin

This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross-correlations between return and volatility (squared return) are mostly insignificant on a daily level. In the high-frequency region, we find that a power-law appears in negative cross-correlation between returns and future volatilities, which suggests that the cross-correlation is long-ranged. We also calculate a cross-correlation between returns and the power of absolute returns, and we find that the strength of the cross-correlations depends on the value of the power.