Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/107, pp. 1-20
This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory …) Model Method. Our findings show that squared returns of three cryptocurrencies have a significant long memory, supporting … properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long …