Bejaoui, Azza; Ben Sassi, Salim; Majdoub, Jihed - In: Studies in Economics and Finance 37 (2019) 4, pp. 585-604
Purpose: In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach: In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple...
