True or spurious long memory in the cryptocurrency markets : evidence from a multivariate test and other Whittle estimation methods
Ata Assaf, Luis Alberiko Gil-Alana, Khaled Mokni
| Year of publication: |
2022
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|---|---|
| Authors: | Assaf, Ata ; Gil-Alaña, Luis A. ; Mokni, Khaled |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 63.2022, 3, p. 1543-1570
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| Subject: | Cryptocurrency markets | Cryptocurrency volatility | Multivariate long-memory tests | Spurious long memory | Virtuelle Währung | Virtual currency | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-021-02165-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440392