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ELSEVIER2022

Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19

Assaf, A., Bhandari, A., Charif, H., Demir, E.
International Review of Financial Analysis, Vol. 82, 2022 · DOI: 10.1016/j.irfa.2022.102132
Comprehensive analysis revealing significant changes in long-range dependence across major cryptocurrencies during COVID-19, demonstrating dramatic shifts in market persistence and fractal structure dynamics following the pandemic outbreak.
Key results
  • Examines long-range dependence across major cryptocurrencies before and during COVID-19.
  • Documents shifts in market persistence and fractal structure following the pandemic outbreak.