Cargando…

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...

Descripción completa

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

Ejemplares similares

The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets
por: Lahmiri, Salim, et al.
Publicado: (2020)

The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets
por: Foroutan, Parisa, et al.
Publicado: (2022)

Randomness, Informational Entropy, and Volatility Interdependencies among the Major World Markets: The Role of the COVID-19 Pandemic
por: Lahmiri, Salim, et al.
Publicado: (2020)

Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic
por: Lahmiri, Salim, et al.
Publicado: (2020)

The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies
por: Lahmiri, Salim
Publicado: (2023)

The Informational Dynamics of Mean‒Variance Relationships in Fertilizer Markets: An Entropic Investigation
por: Lahmiri, Salim, et al.
Publicado: (2018)

Cryptocurrency volatility markets
por: Woebbeking, Fabian
Publicado: (2021)

On the dynamic return and volatility connectedness of cryptocurrency, crude oil, clean energy, and stock markets: a time-varying analysis
por: Attarzadeh, Amirreza, et al.
Publicado: (2022)

Stocks and cryptocurrencies: Antifragile or robust? A novel antifragility measure of the stock and cryptocurrency markets
por: Alatorre, Darío, et al.
Publicado: (2023)

Cryptocurrency and stock market: bibliometric and content analysis
por: Jeris, Saeed Sazzad, et al.
Publicado: (2022)

Mutual coupling between stock market and cryptocurrencies
por: Ahmed, Maruf Yakubu, et al.
Publicado: (2023)

Herding intensity and volatility in cryptocurrency markets during the COVID-19
por: Evrim Mandaci, Pinar, et al.
Publicado: (2022)

The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
por: Salisu, Afees A., et al.
Publicado: (2022)

Fractal signatures of the COVID-19 spread
por: Abbasi, M., et al.
Publicado: (2020)

Fractional order mathematical modeling of COVID-19 transmission
por: Ahmad, Shabir, et al.
Publicado: (2020)

Insights into the dynamics and control of COVID-19 infection rates
por: Willis, Mark J., et al.
Publicado: (2020)

Ranking non-pharmaceutical interventions against Covid-19 global pandemic using global sensitivity analysis—Effect on number of deaths
por: Hanthanan Arachchilage, Kalpana, et al.
Publicado: (2021)

An analysis of COVID-19 spread based on fractal interpolation and fractal dimension
por: Păcurar, Cristina-Maria, et al.
Publicado: (2020)

Impact assessment of containment measure against COVID-19 spread in Morocco
por: Hammoumi, Aayah, et al.
Publicado: (2020)

Evolutionary modelling of the COVID-19 pandemic in fifteen most affected countries
por: Salgotra, Rohit, et al.
Publicado: (2020)

Sensitivity theorems of a model of multiple imperfect vaccines for COVID-19
por: Aguilar-Canto, Fernando Javier, et al.
Publicado: (2022)

Spreading of infections on random graphs: A percolation-type model for COVID-19
por: Croccolo, Fabrizio, et al.
Publicado: (2020)

The resumption of sports competitions after COVID-19 lockdown: The case of the Spanish football league
por: Buldú, Javier M., et al.
Publicado: (2020)

A data-driven model for COVID-19 pandemic – Evolution of the attack rate and prognosis for Brazil
por: Rocha Filho, T.M., et al.
Publicado: (2021)

Multifractal analysis of chest CT images of patients with the 2019 novel coronavirus disease (COVID-19)
por: Astinchap, Bandar, et al.
Publicado: (2022)

A numerical simulation of fractional order mathematical modeling of COVID-19 disease in case of Wuhan China
por: Yadav, Ram Prasad, et al.
Publicado: (2020)

Association between weather data and COVID-19 pandemic predicting mortality rate: Machine learning approaches
por: Malki, Zohair, et al.
Publicado: (2020)

Towards predicting COVID-19 infection waves: A random-walk Monte Carlo simulation approach
por: Mahapatra, D.P., et al.
Publicado: (2022)

Endothelial cells and blood vessels are major targets for COVID-19-induced tissue injury and spreading to various organs
por: Tarnawski, Andrzej S, et al.
Publicado: (2022)

Genomics in medicine: A new era in medicine
por: Pattan, Vishwanath, et al.
Publicado: (2021)

Long-term survival outcome of laparoscopic liver resection for hepatocellular carcinoma
por: Lam, Shi, et al.
Publicado: (2021)

Data-assimilation and state estimation for contact-based spreading processes using the ensemble kalman filter: Application to COVID-19
por: Schaum, A., et al.
Publicado: (2022)

Investigating a nonlinear dynamical model of COVID-19 disease under fuzzy caputo, random and ABC fractional order derivative
por: Rahman, Mati ur, et al.
Publicado: (2020)

Data analysis of Covid-19 pandemic and short-term cumulative case forecasting using machine learning time series methods
por: Ballı, Serkan
Publicado: (2021)

Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume
por: Wasiuzzaman, Shaista
Publicado: (2022)

Testing volatility and relationship among BRICS stock market returns
por: Ganguly, Soumya, et al.
Publicado: (2022)

A deep learning and grad-CAM based color visualization approach for fast detection of COVID-19 cases using chest X-ray and CT-Scan images
por: Panwar, Harsh, et al.
Publicado: (2020)

Hepatocellular carcinoma risk after viral response in hepatitis C virus-advanced fibrosis: Who to screen and for how long?
por: Ahumada, Adriana, et al.
Publicado: (2021)

Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets
por: Harb, Etienne, et al.
Publicado: (2022)

The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19
por: Kyriazis, Nikolaos, et al.
Publicado: (2023)

Cannot write session to /tmp/vufind_sessions/sess_6u8lisdjujdr6g4rrga39hs5e6