Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of risk and financial management : JRFM 13 (2020) 9/186, 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 … cryptocurrencies. The estimated memory parameters show that volatility is persistent, and when volatility is measured by log range, it …