The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets

We examine long memory (self-similarity) in digital currencies and international stock exchanges prior and during COVID-19 pandemic. Specifically, ARFIMA and FIGARCH models are respectively employed to evaluate long memory parameter in returns and volatility. The dataset contains 45 cryptocurrency m...

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Detalles Bibliográficos
Autores principales: Lahmiri, Salim, Bekiros, Stelios
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Frontiers
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759418/
https://www.ncbi.nlm.nih.gov/pubmed/36568907
http://dx.doi.org/10.1016/j.chaos.2021.111221

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759418/
https://www.ncbi.nlm.nih.gov/pubmed/36568907
http://dx.doi.org/10.1016/j.chaos.2021.111221

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