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Journal of Quantitative Economics

Erschienen in:

01.11.2018 | Notes and Short Article

The Inefficiency of Litecoin: A Dynamic Analysis

verfasst von: R. K. Jana, Aviral Kumar Tiwari, Shawkat Hammoudeh

Erschienen in: Journal of Quantitative Economics | Ausgabe 2/2019

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Abstract

We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multifractality of Litecoin returns.

Vorheriger Artikel Application of Neural Networks to Short Time Series Composite Indexes: Evidence from the Nonlinear Autoregressive with Exogenous Inputs (NARX) Model

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Titel: The Inefficiency of Litecoin: A Dynamic Analysis
verfasst von: R. K. Jana
Aviral Kumar Tiwari
Shawkat Hammoudeh
Publikationsdatum: 01.11.2018
Verlag: Springer India
Erschienen in: Journal of Quantitative Economics / Ausgabe 2/2019
Print ISSN: 0971-1554
Elektronische ISSN: 2364-1045
DOI: https://doi.org/10.1007/s40953-018-0149-0

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