Time-varying properties of asymmetric volatility and multifractality in Bitcoin
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DOI: 10.1371/journal.pone.0246209
Abstract: This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find… read more here.
Keywords: volatility asymmetry; volatility; time; market ... See more keywords