True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-021-02165-6.pdf
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3. Achard S, Bassett DS, Meyer-Lindenberg A, Bullmore E (2008) Fractal connectivity of long-memory networks. Phys Rev E 77(3):036104
4. Al-Yahyaee K, Walid M, Seong Min Y (2018) Efficiency, multifractality, and long-memory property of the Bitcoin market: a comparative analysis with stock, currency, and gold markets. Fin Res Lett 27:228–234
5. Andrews D, Sun WK (2004) Adaptive local polynomial whittle estimation of long-range dependence. Econometrica 72:569–614
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