True or spurious long memory in the cryptocurrency markets : evidence from a multivariate test and other Whittle estimation methods
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 |
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