Persistence in the Cryptocurrency Market

Research English OPEN
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex;
  • Publisher: Munich: Center for Economic Studies and Ifo Institute (CESifo)
  • Subject: C22 | R/S analysis | crypto currency | G12 | persistence | long memory | fractional integration | BitCoin
    • ddc: ddc:330

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2... View more
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