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True versus Spurious Long Memory in Cryptocurrencies
We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives, this...
Tallennettuna:
| Päätekijät: | , |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
MDPI AG
2020-08-01
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| Sarja: | Journal of Risk and Financial Management |
| Aiheet: | |
| Linkit: | https://www.mdpi.com/1911-8074/13/9/186 |
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