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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...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Ltd.
2021
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Materias: | |
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 |