Volatility persistence in cryptocurrency markets under structural breaks
Year of publication: |
2020
|
---|---|
Authors: | Abakah, Emmanuel Joel Aikins ; Gil-Alaña, Luis A. ; Madigu, Godfrey ; Romero-Rojo, Fatima |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 69.2020, p. 680-691
|
Subject: | Cryptocurrencies | Volatility | Long memory | Fractional integration | Volatilität | Strukturbruch | Structural break | Virtuelle Währung | Virtual currency | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
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