Price discovery and long-memory property : simulation and empirical evidence from the bitcoin market
Year of publication: |
2024
|
---|---|
Authors: | Xu, Ke ; Chen, Yu-Lun ; Liu, Bo ; Chen, Jian |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 4, p. 605-618
|
Subject: | cointegrated VAR | fractional cointegration | long memory | price discovery | Kointegration | Cointegration | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Großbritannien | United Kingdom | Schätzung | Estimation | VAR-Modell | VAR model |
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