Structural breaks and double long memory of cryptocurrency prices : a comparative analysis from Bitcoin and Ethereum
Year of publication: |
2019
|
---|---|
Authors: | Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 222-230
|
Subject: | Bitcoin | Ethereum | Structural breaks | Long memory | GARCH family models | Strukturbruch | Structural break | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
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