A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets
One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent. In this paper, we provide a novel methodology to calculate the pr...
| Autori principali: | , , , |
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| Natura: | info:eu-repo/semantics/article |
| Lingua: | English |
| Pubblicazione: |
MDPI
2020
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| Soggetti: | |
| Accesso online: | http://hdl.handle.net/10835/8412 |