Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration-Reference-Cited by-同舟云学术

Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration

Published:2020-07-27 Issue:1 Volume:26 Page:1318-1335
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Yaya OlaOluwa S.¹²^ORCID,Ogbonna Ahamuefula E.¹²,Mudida Robert³,Abu Nuruddeen⁴

Affiliation:

1. Economic and Financial Statistics Unit, Department of Statistics University of Ibadan Ibadan Nigeria

2. Centre for Econometric and Allied Research University of Ibadan Ibadan Nigeria

3. Institute for Public Policy and Governance Strathmore University Nairobi Kenya

4. Department of Economics Umaru Musa Yar'adua University Katsina Nigeria

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1851

Reference63 articles.

1. Regime changes in Bitcoin GARCH volatility dynamics

2. Computation and analysis of multiple structural change models

3. Can volume predict Bitcoin returns and volatility? A quantiles-based approach

4. Bitter to Better — How to Make Bitcoin a Better Currency

Cited by 31 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Cryptocurrencies: hedging or financialization? behavioral time series analyses;Cogent Business & Management;2024-08-28

2. Cryptocurrency volatility: A review, synthesis, and research agenda;Research in International Business and Finance;2024-08

3. Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency;Research in International Business and Finance;2024-06

4. Price Delay and Market Efficiency of Cryptocurrencies: The Impact of Liquidity and Volatility during the COVID-19 Pandemic;Journal of Risk and Financial Management;2024-05-08

5. Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency;Financial Review;2024-03-23