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Time-varying properties of asymmetric volatility and multifractality in Bitcoin
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoi...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7850481/ https://www.ncbi.nlm.nih.gov/pubmed/33524019 http://dx.doi.org/10.1371/journal.pone.0246209 |