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Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple
Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-20
This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long memory property using, Rescaled Range Statistics (R/S),...
Persistent link: https://www.econbiz.de/10012611336
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Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
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Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple
Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/107, pp. 1-20
This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long memory property using, Rescaled Range Statistics (R/S),...
Persistent link: https://www.econbiz.de/10012305060
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Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting
Abuzayed, Bana; Al-Fayoumi, Nedal; Charfeddine, Lanouar - In: Applied economics 50 (2018) 23, pp. 2569-2599
Persistent link: https://www.econbiz.de/10011850296