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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
Authors: Assaf, Ata ; Gil-Alaña, Luis A. ; Mokni, Khaled
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
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