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- W2906461934 abstract "This paper evaluates the adaptive pattern of long memory in the volatility of intra-day bitcoin returns. It also tests the impact of the trading volume on time-varying long memory. Our finding confirms long memory in the volatility of intra-day bitcoin returns is not an all-or-nothing phenomenon; it is adaptive to change in time and creation of events and, therefore, adheres to the proposition of the adaptive market hypothesis. This paper reveals the explanatory power of trading volume on long memory during bearish and bullish movements." @default.
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- W2906461934 date "2020-01-01" @default.
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- W2906461934 title "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume" @default.
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- W2906461934 doi "https://doi.org/10.1016/j.frl.2018.12.025" @default.
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