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True versus Spurious Long Memory in Cryptocurrencies
2020
Journal of Risk and Financial Management
We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives, this paper finds that long memory is mostly rejected in returns. The tests fail to reject the null hypothesis of long memory in most cases across different volatility proxies and cryptocurrencies. The
doi:10.3390/jrfm13090186
fatcat:7jh2ibrygbfypk55kdeln4l4bi