Long memory interdependency and inefficiency in bitcoin markets
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Publication:1787569
DOI10.1016/J.ECONLET.2018.02.010zbMath1397.62405OpenAlexW2789158883MaRDI QIDQ1787569
Zhuang Zhang, Eng-Tuck Cheah, Mamata Parhi, Tapas Kumar Mishra
Publication date: 5 October 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/418306/1/EL43630R1_.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Uses Software
Cites Work
- Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Volatility estimation for Bitcoin: a comparison of GARCH models
- Exact local Whittle estimation of fractional integration
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The Impact of Uncertainty Shocks
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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