Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
Year of publication: |
2022
|
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Authors: | Caporale, Guglielmo Maria ; de Dios Mazariegos, José Javier ; Gil-Alana, Luis A. |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | stock market prices | cryptocurrencies | persistence | fractional integration and cointegration |
Series: | CESifo Working Paper ; 9950 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1817315277 [GVK] hdl:10419/265985 [Handle] RePec:ces:ceswps:_9950 [RePEc] |
Classification: | C22 - Time-Series Models ; c58 ; G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: |
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
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Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis
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