Concepedia

Long range dependence in the Bitcoin market: A study based on high-frequency data

Faisal Nazir Zargar, Dilip Kumar

Physica A Statistical Mechanics and its Applications · 2018 · 25 citations · 24 references

DOI

Concepts

References

24

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

, , +16

Bitcoin, gold and the dollar – A GARCH volatility analysis

Anne Haubo Dyhrberg · Finance research letters · 2015 · 1.5K citations

, , +12

Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev · Journal of Empirical Finance · 1997 · 1.4K citations

, , +16

Log-Periodogram Regression of Time Series with Long Range Dependence

Peter M. Robinson · The Annals of Statistics · 1995 · 1.2K citations · Full text

, , +11

The inefficiency of Bitcoin

Andrew Urquhart · Economics Letters · 2016 · 1.2K citations

, , +3