Long memory interdependency and inefficiency in bitcoin markets

DOI10.1016/J.ECONLET.2018.02.010MaRDI QIDQ1787569zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cross-market bitcoin pricesefficient market hypothesisfractionally cointegrated VARlong-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Exact local Whittle estimation of fractional integration
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Impact of Uncertainty Shocks
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(16)

• Return and volatility spillovers among cryptocurrencies
• Adaptive market hypothesis and evolving predictability of bitcoin
• A singular value decomposition approach for testing the efficiency of bitcoin and ethereum markets
• Forecasting volatility in bitcoin market
• Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study
• Price dispersion in bitcoin exchanges
• Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis
• On comparing the influences of exogenous information on bitcoin prices and stock index values
• The test of the adaptive market hypothesis in the Bitcoin market
• 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
• The speculative (In)efficiency of the CME bitcoin futures market
• The Role of Binance in Bitcoin Volatility Transmission
• Measuring cryptocurrency moment convergence using distance analysis
• Chaos, randomness and multi-fractality in bitcoin market
• Comparative performance of cryptocurrencies through the Aumann-Serrano economic index of riskiness

Describes a project that uses

Uses Software

• FCVARmodel

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