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Title:Long-range memory, distributional variation and randomness of bitcoin volatility Author(s):LAHMIRI, Salim; BEKIROS, Stelios D. EUI affiliated

; SALVI, AntonioDate:2018Citation: Chaos solitons & fractals, 2018, Vol. 107, pp. 43-48 Type:ArticleAbstract:We investigate the nonlinear patterns of volatility in seven Bitcoin markets. In particular, we explore the fractional long-range dependence in conjunction with the potential inherent stochasticity of volatility time series ...

Title:A Mixture Multiplicative Error Model for Realized Volatility Author(s):LANNE, MarkkuDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/3Abstract:A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is intro- duced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar ...

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