Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter

Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter

This research analyzes asymmetric volatility and multifractality in four representative cryptocurrencies using index-based asymmetric multifractal detrended fluctuation analysis. We suggest investigating an idiosyncratic risk premium, which can be obtained by removing the market influence in the cry...

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Bibliographic Details
Main Authors: Minhyuk Lee, Younghwan Cho, Seung Eun Ock, Jae Wook Song
Format: Article
Language:English
Published: MDPI AG 2023-01-01
Series:Fractal and Fractional
Subjects:
multifractal detrended fluctuation analysis
capital asset pricing model filter
idiosyncratic risk premium
asymmetric volatility
asymmetric multifractality
Online Access:https://www.mdpi.com/2504-3110/7/1/85

Internet

https://www.mdpi.com/2504-3110/7/1/85

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