Narrow search
Showing 1 - 10 of 613,160
Cover Image
A hypothesis test method for detecting multifractal scaling, applied to Bitcoin prices
Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of risk and financial management : JRFM 13 (2020) 5/104, pp. 1-21
found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should … apply this method to test for multifractal scaling across several financial time series including Bitcoin. We observe that … multifractal scaling cannot be ruled out for Bitcoin or the Nasdaq Composite Index, both technology driven assets. …
Persistent link: https://www.econbiz.de/10012304977
Cover Image
Are standard asset pricing factors long-range dependent?
Auer, Benjamin R. - In: Journal of economics and finance 42 (2018) 1, pp. 66-88
Persistent link: https://www.econbiz.de/10011978140
Cover Image
Efficiency, multifractality, and the long-memory property of the Bitcoin market : a comparative analysis with stock, currency, and gold markets
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Yoon, Seong-min - In: Finance research letters 27 (2018), pp. 228-234
Persistent link: https://www.econbiz.de/10012006868
Cover Image
The inefficiency of Bitcoin revisited : a dynamic approach
Bariviera, Aurelio Fernández - In: Economics letters 161 (2017), pp. 1-4
Persistent link: https://www.econbiz.de/10011903819
Cover Image
Informational inefficiency of Bitcoin : a study based on high-frequency data
Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353
Persistent link: https://www.econbiz.de/10012135746
Cover Image
Volatility analysis of Bitcoin price time series
Pichl, Lukáš; Kaizoji, Taisei - In: Quantitative finance and economics 1 (2017) 4, pp. 474-485
Persistent link: https://www.econbiz.de/10012137891
Cover Image
Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
Cover Image
Long memory and fractality among global equity markets : a multivariate wavelet approach
Bhandari, Avishek; Kamaiah, Bandi - In: Journal of quantitative economics 19 (2021) 1, pp. 23-37
Persistent link: https://www.econbiz.de/10012489848
Cover Image
Statistical inference in multifractal random walk models for financial time series
Sattarhoff, Cristina - 2011
Persistent link: https://www.econbiz.de/10008990625
Cover Image
Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845