ELSEVIER2023
Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19
Research in International Business and Finance, Vol. 64, 2023 · DOI: 10.1016/j.ribaf.2022.101821
Novel wavelet-based multivariate long memory approach examining hourly cryptocurrency returns during COVID-19, identifying fractal connectivity clustering patterns and interdependence structures across digital asset networks.
Key results
- Applies a wavelet-based multivariate long-memory method to high-frequency (hourly) cryptocurrency returns.
- Maps fractal connectivity clustering and interdependence across digital assets through the COVID-19 period.