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Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration
16 references·5 citing·34 second hop
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References

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  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
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  • 2007Dissecting Anomalies1,573 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
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  • 2012The flexible Fourier form and Dickey–Fuller type unit root tests764 cited

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  • 2011A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks*747 cited
  • Cited by

    • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
    • 2022Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies29 cited
    • 2022Persistence and volatility spillovers of bitcoin price to gold and silver prices28 cited
    • 2024Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency26 cited
    • 2022Determinants of ICO success and post-ICO performance17 cited