Autor según el artículo: Bariviera AF
Departamento: Gestió d'Empreses
Autor/es de la URV: Fernández Bariviera, Aurelio
Palabras clave: Multifractality Generalized hurst exponent Efficient market hypothesis Cryptocurrencies
Resumen: © 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.
Áreas temáticas: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
ISSN: 15446123
Direcció de correo del autor: aurelio.fernandez@urv.cat
Identificador del autor: 0000-0003-1014-1010
Fecha de alta del registro: 2024-07-27
Versión del articulo depositado: info:eu-repo/semantics/acceptedVersion
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Finance Research Letters. 39 (101649):
Referencia 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
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2021
Tipo de publicación: Journal Publications
Repositori URV