Long memory interdependency and inefficiency in bitcoin markets

DOI10.1016/J.ECONLET.2018.02.010zbMath1397.62405OpenAlexW2789158883MaRDI QIDQ1787569

Zhuang Zhang, Eng-Tuck Cheah, Mamata Parhi, 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

efficient market hypothesislong-memorycross-market bitcoin pricesfractionally cointegrated VAR

Mathematics Subject Classification ID

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

Related Items (4)

Return and volatility spillovers among cryptocurrencies ⋮ Does bitcoin dominate the price discovery of the cryptocurrencies market? A time-varying information share analysis ⋮ Price dispersion in bitcoin exchanges ⋮ The Role of Binance in Bitcoin Volatility Transmission

Uses Software

• FCVARmodel

Cites Work

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

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