Title:Long-range memory, distributional variation and randomness of bitcoin volatility Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.; 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:The informational dynamics of meanvariance relationships in fertilizer markets : an entropic investigation Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2018Citation:
- Entropy, 2018, Vol. 20, No. 9, Art. 677
Type:ArticleAbstract:The riskreturn trade-off is a fundamental relationship that has received a large amount of attention in financial and economic analysis. Indeed, it has important implications for understanding linear dynamics in price ...