Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 186
We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on … five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory … developed against persistent and nonlinear alternatives, this paper finds that long memory is mostly rejected in returns. The …