found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should …

This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three … cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH …, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not …

cryptocurrency market is well known as very volatile, mainly for the fact that the cryptocurrencies have not the price to fall back … GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … (given by Geometric Brownian Motion). We conclude that the best method for value-at-risk estimation for cryptocurrencies is …

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after …

-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for … Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We … document a remarkable high percentage of jumps above 80% . We also find that realized volatility exhibits: (i) long memory; (ii …