This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional … between cryptocurrencies prices and stock indices. Surprisingly, a different picture emerges on using conditional volatility … expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market …

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 …