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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

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Cited by:

  1. Telli, Şahin & Chen, Hongzhuan, 2020. "Multifractal behavior in return and volatility series of Bitcoin and gold in comparison," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  2. Kakinaka, Shinji & Umeno, Ken, 2022. "Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: An asymmetric multifractal analysis approach," Finance Research Letters, Elsevier, vol. 46(PA).
  3. Telli, Şahin & Chen, Hongzhuan, 2020. "Structural breaks and trend awareness-based interaction in crypto markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  4. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
  5. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
  6. Kraaijeveld, Olivier & De Smedt, Johannes, 2020. "The predictive power of public Twitter sentiment for forecasting cryptocurrency prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  7. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
  8. Wang, Jinghua & Ngene, Geoffrey M., 2020. "Does Bitcoin still own the dominant power? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
  9. Kyriazis, Nikolaos & Papadamou, Stephanos & Corbet, Shaen, 2020. "A systematic review of the bubble dynamics of cryptocurrency prices," Research in International Business and Finance, Elsevier, vol. 54(C).
  10. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Alam, Masud & Abedin, Mohammad Zoynul & Shi, Baofeng, 2023. "NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
  11. Cheng, Jiameng & Dai, Yanke, 2020. "Is bitcoin a channel of capital inflow? Evidence from carry trade activity," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 261-278.
  12. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2023. "Multifractal cross-correlations between green bonds and financial assets," Finance Research Letters, Elsevier, vol. 53(C).
  13. Yun-Jung Lee & Neung-Woo Kim & Ki-Hong Choi & Seong-Min Yoon, 2020. "Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach," Energies, MDPI, vol. 13(9), pages 1-14, May.
  14. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
  15. Naeem, Muhammad Abubakr & Karim, Sitara & Farid, Saqib & Tiwari, Aviral Kumar, 2022. "Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 548-562.
  16. Naeem, Muhammad Abubakr & Farid, Saqib & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2021. "Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis," Energy Policy, Elsevier, vol. 153(C).
  17. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Upside-Downside Multifractality and Efficiency of Green Bonds: The Roles of Global Factors and COVID-19," Finance Research Letters, Elsevier, vol. 43(C).
  18. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
  19. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  20. Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2023. "Do travel uncertainty and invasion rhetoric spur Metaverse financial asset? – Gauging the role of media influence," Finance Research Letters, Elsevier, vol. 51(C).
  21. Akyildirim, Erdinc & Corbet, Shaen & Lucey, Brian & Sensoy, Ahmet & Yarovaya, Larisa, 2020. "The relationship between implied volatility and cryptocurrency returns," Finance Research Letters, Elsevier, vol. 33(C).
  22. Dulani Jayasuriya Daluwathumullagamage & Alexandra Sims, 2021. "Fantastic Beasts: Blockchain Based Banking," JRFM, MDPI, vol. 14(4), pages 1-43, April.
  23. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
  24. Toshiko Matsui & Ali Al-Ali & William J. Knottenbelt, 2022. "On the Dynamics of Solid, Liquid and Digital Gold Futures," Papers 2202.09845, arXiv.org.
  25. Erdinc Akyildirim & Ahmet Goncu & Ahmet Sensoy, 2021. "Prediction of cryptocurrency returns using machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 3-36, February.
  26. Corbet, Shaen & Eraslan, Veysel & Lucey, Brian & Sensoy, Ahmet, 2019. "The effectiveness of technical trading rules in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 31(C), pages 32-37.
  27. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
  28. Nidhal Mgadmi & Azza Béjaoui & Wajdi Moussa, 2023. "Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 457-473, September.
  29. Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2021. "Bitcoin-energy markets interrelationships - New evidence," Resources Policy, Elsevier, vol. 70(C).
  30. Khan, Khalid & Su, Chi-Wei & Khurshid, Adnan & Umar, Muhammad, 2022. "COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysis," Energy, Elsevier, vol. 256(C).
  31. Munir Khamis & Dalal Aassouli, 2023. "The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review," Sustainability, MDPI, vol. 15(8), pages 1-27, April.
  32. Yao, Can-Zhong & Mo, Yi-Na & Zhang, Ze-Kun, 2021. "A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  33. Foued Sa^adaoui, 2023. "Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning," Papers 2304.08440, arXiv.org.
  34. Kakinaka, Shinji & Umeno, Ken, 2022. "Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales," Research in International Business and Finance, Elsevier, vol. 62(C).
  35. Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
  36. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, vol. 76(C).
  37. Akyildirim, Erdinc & Corbet, Shaen & Katsiampa, Paraskevi & Kellard, Neil & Sensoy, Ahmet, 2020. "The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives," Finance Research Letters, Elsevier, vol. 34(C).
  38. Mnif, Emna & Jarboui, Anis & Mouakhar, Khaireddine, 2020. "How the cryptocurrency market has performed during COVID 19? A multifractal analysis," Finance Research Letters, Elsevier, vol. 36(C).
  39. Abubakr Naeem, Muhammad & Iqbal, Najaf & Lucey, Brian M. & Karim, Sitara, 2022. "Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  40. Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  41. Kerolly Kedma Felix do Nascimento & Fábio Sandro dos Santos & Jader Silva Jale & Silvio Fernando Alves Xavier Júnior & Tiago A. E. Ferreira, 2023. "Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1095-1114, March.
  42. Cao, Guangxi & Ling, Meijun, 2022. "Asymmetry and conduction direction of the interdependent structure between cryptocurrency and US dollar, renminbi, and gold markets," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  43. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
  44. Cevik, Emrah Ismail & Gunay, Samet & Dibooglu, Sel & Yıldırım, Durmuş Çağrı, 2023. "The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
  45. Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
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