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...

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Bibliographic Details
Main Authors: Venelina Nikolova, Juan E. Trinidad Segovia, Manuel Fernández-Martínez, Miguel Angel Sánchez-Granero
Format: Article
Language:English
Published: MDPI AG 2020-07-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/8/8/1216