Autor segons l'article: Bariviera AF
Departament: Gestió d'Empreses
Autor/s de la URV: Fernández Bariviera, Aurelio
Paraules clau: Multifractality Generalized hurst exponent Efficient market hypothesis Cryptocurrencies
Resum: © 2020 Elsevier Inc. This letter studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and –more importantly – follow different stochastic processes. Some of them follow models closer to monofractal fractional Gaussian noises, while others exhibit complex multifractal dynamics. Regarding the source of multifractality, our results are mixed. Time series shuffling produces a reduction in the level of multifractality, but not enough to offset it. We find an association of kurtosis with multifractality.
Àrees temàtiques: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
ISSN: 15446123
Adreça de correu electrònic de l'autor: aurelio.fernandez@urv.cat
Identificador de l'autor: 0000-0003-1014-1010
Data d'alta del registre: 2024-07-27
Versió de l'article dipositat: info:eu-repo/semantics/acceptedVersion
URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
Referència a l'article segons font original: Finance Research Letters. 39 (101649):
Referència de l'ítem segons les normes APA: Bariviera AF (2021). One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. Finance Research Letters, 39(101649), -. DOI: 10.1016/j.frl.2020.101649
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2021
Tipus de publicació: Journal Publications
Repositori URV