  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
thata power-law appears in negative cross correlation between returns and
future volatilities, which suggests that the cross correlation is
\revision{long ranged}. We also calculate a cross correlation between returns
and the power of absolute returns, and we find that the strength of
\revision{the cross correlations} depends on the value of the power.
