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Long range dependence in the Bitcoin market: A study based on high-frequency data
16 references·1 citing·36 second hop
Long range dependence in the Bitcoin market: A study based on high-frequency data (2018)Long range dependence in the Bitcoin mark…On Bitcoin markets (in)efficiency and its evolution (2018)On Bitcoin markets (in)effici…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…Informational efficiency of Bitcoin—An extension (2017)Informational efficiency of B…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinNegative bubbles and shocks in cryptocurrency markets (2016)Negative bubbles and shocks i…What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)What Are the Main Drivers of …Price discovery on Bitcoin exchanges (2015)Price discovery on Bitcoin ex…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy (2014)The digital traces of bubbles…Exact Local Whittle Estimation of Fractional \nIntegration (2002)Exact Local Whittle Estimatio…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…The conditional heteroscedasticity of the yen-dollar exchange rate (1998)The conditional heteroscedast…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing Stylized Facts of Bitcoin Limit Order Books (2019)Testing Stylized Facts of Bit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)The distribution of realized stock return volatility (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Using wavelets to decompose the time–frequency effects of monetary policy (2008)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)A test for independence based on the correlation dimension (1996)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Théorie de la spéculation (1900)A new look at Cryptocurrencies (2017)What Causes the Attention of Bitcoin? (2018)Gaussian Semiparametric Estimation of Long Range Dependence (1995)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)Oil price shocks and agricultural commodity prices (2014)Persistence in the cryptocurrency market (2018)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
this work references cited by second hop

References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis989 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2002Exact Local Whittle Estimation of Fractional \nIntegration518 cited
  • 2016Negative bubbles and shocks in cryptocurrency markets508 cited
  • 2014The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy466 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • 1998The conditional heteroscedasticity of the yen-dollar exchange rate345 cited
  • 2015Price discovery on Bitcoin exchanges332 cited

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2018
On Bitcoin markets (in)efficiency and its evolution
198 cited

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  • 2019Testing Stylized Facts of Bitcoin Limit Order Books25 cited