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

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

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