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AuthorCharfeddine L.
AuthorMaouchi Y.
Available date2020-04-16T06:56:48Z
Publication Date2019
Publication NameFinance Research Letters
ResourceScopus
ISSN15446123
URIhttp://dx.doi.org/10.1016/j.frl.2018.06.017
URIhttp://hdl.handle.net/10576/14250
AbstractThis letter questions the true nature (true versus spurious) of the Long Range Dependence (LRD) behavior observed in the returns and volatility series of four Cryptocurrencies (CC). Using a robust approach, this letter shows that the LRD behavior exhibited by the returns and volatility series of Bitcoin, Litecoin, and Ripple is a true behavior, and not a statistical artifact. As for Ethereum, the results show that the true LRD is only supported for the volatility series. Our results confirm the inefficiency of all the considered markets, with the exception of Ethereum.
Languageen
PublisherElsevier Ltd
SubjectCryptocurrencies
Long range dependence
Returns
Structural changes
True versus spurious behavior
Volatility
TitleAre shocks on the returns and volatility of cryptocurrencies really persistent?
TypeArticle
Pagination423-430
Volume Number28
dc.accessType Abstract Only


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