Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets
نویسندگان
چکیده
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores price-volatility nexus in cryptocurrency markets investigates presence asymmetric effect uptrend (bull) downtrend (bear) regimes. The conventional GARCH-class models have shown that markets, reactions to returns differ from those other traditional assets. We address this issue viewpoint fractal analysis, which can cover nonlinear interactions self-similarity properties widely acknowledged field econophysics. cross-correlations for Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Litecoin (LTC) during period June 1, 2016 December 28, 2020 are investigated using MF-ADCCA method quantified via DCCA coefficient. approaches take into account nonlinearity multifractal scaling properties, providing new insights investigating relationships dynamical way. find stronger than maturing BTC ETH. In contrast, XRP LTC, inverted present where markets.
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ژورنال
عنوان ژورنال: Physica D: Nonlinear Phenomena
سال: 2021
ISSN: ['1872-8022', '0167-2789']
DOI: https://doi.org/10.1016/j.physa.2021.126237