Volatility persistence in cryptocurrency markets under structural breaks
Emmanuel Joel Aikins Abakah, Luis Alberiko Gil-Alana, Godfrey Madigu, Fatima Romero-Rojo
| Year of publication: |
2020
|
|---|---|
| Authors: | Abakah, Emmanuel Joel Aikins ; Gil-Alaña, Luis A. ; Madigu, Godfrey ; Romero-Rojo, Fatima |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 69.2020, p. 680-691
|
| Subject: | Cryptocurrencies | Volatility | Long memory | Fractional integration | Volatilität | Strukturbruch | Structural break | Virtuelle Währung | Virtual currency | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.06.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012487193