The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights

Authors :: Tak Kuen Siu
Source :: Applied Economics. 53:1991-2014
Publication Year :: 2021
Publisher :: Informa UK Limited, 2021.
Abstract: This paper aims to study the impacts of long memory in conditional volatility and conditional non-normality on market risks in Bitcoin and some other cryptocurrencies using an Autoregressive Fracti...

Subjects :: Economics and Econometrics
Cryptocurrency
050208 finance
05 social sciences
Market risk
Autoregressive model
Conditional volatility
Long memory
0502 economics and business
Econometrics
Economics
Non normality
Tail risk
050207 economics
Volatility (finance)

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