Long memory interdependency and inefficiency in bitcoin markets
DOI10.1016/J.ECONLET.2018.02.010zbMATH Open1397.62405OpenAlexW2789158883MaRDI QIDQ1787569FDOQ1787569
Authors: Eng-Tuck Cheah, Mamata Parhi, Zhuang Zhang, 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
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Cites Work
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Exact local Whittle estimation of fractional integration
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- The Impact of Uncertainty Shocks
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Volatility estimation for Bitcoin: a comparison of GARCH models
Cited In (15)
- Price dispersion in bitcoin exchanges
- A singular value decomposition approach for testing the efficiency of bitcoin and ethereum markets
- The test of the adaptive market hypothesis in the Bitcoin market
- The speculative (In)efficiency of the CME bitcoin futures market
- Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study
- Return and volatility spillovers among cryptocurrencies
- Forecasting volatility in bitcoin market
- Adaptive market hypothesis and evolving predictability of bitcoin
- Measuring cryptocurrency moment convergence using distance analysis
- Chaos, randomness and multi-fractality in bitcoin market
- The Role of Binance in Bitcoin Volatility Transmission
- On comparing the influences of exogenous information on bitcoin prices and stock index values
- Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis
- A study of dynamic cointegration of gold and bitcoin --- based on semiparametric MIDAS quantile regression model
- Fragmentation, price formation and cross-impact in bitcoin markets
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