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ArticleNonlinear dependence in cryptocurrency markets

Pedro Chaim2019

Article2019

Nonlinear dependence in cryptocurrency markets

Pedro Chaim · Márcio Poletti Laurini

94 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Statistics for Long-Memory Processes.2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2016The Inefficiency of Bitcoin 2001Long memory and regime switching 2017Volatility estimation for Bitcoin: A comparison of GARCH models 2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis

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Year2019

Typearticle

Published2019-01-27

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations94

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2019.01.015

openalex_workW2911266508

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2019Intraday efficiency-frequency nexus in the cryptocurrency markets

2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach

2021Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis