Analyzing the efficient market hypothesis with asymmetric persistence in cryptocurrencies : insights from the Fourier non-linear quantile unit root approach
Year of publication: |
2023
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Authors: | Kilic, Emre ; Yavuz, Ersin ; Pazarci, Sevket ; Kar, Asim |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 3, p. 1-6
|
Subject: | Cryptocurrency | EMH | Non-linearity | Quantile unit root | Smooth breaks | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Effizienzmarkthypothese | Efficient market hypothesis | Virtuelle Währung | Virtual currency | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation |
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