Fractal dynamics and wavelet analysis : deep volatility and return properties of Bitcoin, Ethereum and Ripple
Year of publication: |
2020
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Authors: | Celeste, Valerio ; Corbet, Shaen ; Gurdgiev, Constantin |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 76.2020, p. 310-324
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Subject: | Efficient market hypothesis | Fractal market hypothesis | Cryptocurrencies | Wavelet coherence | Continuous wavelet transform | Hurst exponent | Zustandsraummodell | State space model | Volatilität | Volatility | Effizienzmarkthypothese | Kapitaleinkommen | Capital income | Virtuelle Währung | Virtual currency | Aktienmarkt | Stock market | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
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