In this article, we analyze informational efficiency in daily returns of NASDAQ, DJIA and S&P 500 indices ranging from 04-01-1980 to 12-09-2013.We replace the traditional coarse graining method used in multi-scale entropy analysis by a Maximal Overlap Discreet Wavelet Transform decomposition and...

In this study, we test the hedge and safe haven properties of NFTs against Bitcoin market fluctuations. We employ daily returns of Bitcoin and ffour NFTS, namely Decentral Land, Cryptopunks, Cryptokitties and SuperRare, from 04-April-2018 to 7-July-2022. For analytical purposes, we estimate...

This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is...

Purpose The purpose of this paper is to assess to what extent intraday data can explain and predict long-term memory. Design/methodology/approach This article analysed the presence of long-memory volatility in five Asian equity indices, namely, SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using...