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Are shocks on the returns and volatility of cryptocurrencies really persistent?

Lanouar Charfeddine () and Youcef Maouchi

Finance Research Letters, 2019, vol. 28, issue C, 423-430

Abstract: This letter questions the true nature (true versus spurious) of the Long Range Dependence (LRD) behavior observed in the returns and volatility series of four Cryptocurrencies (CC). Using a robust approach, this letter shows that the LRD behavior exhibited by the returns and volatility series of Bitcoin, Litecoin, and Ripple is a true behavior, and not a statistical artifact. As for Ethereum, the results show that the true LRD is only supported for the volatility series. Our results confirm the inefficiency of all the considered markets, with the exception of Ethereum.

Keywords: Cryptocurrencies; Returns; Volatility; True versus spurious behavior; Long range dependence; Structural changes (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2019
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