Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data

Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data

This paper aims to empirically examine long memory and bi-directional information flow between estimated volatilities of highly volatile time series datasets of five cryptocurrencies. We propose the employment of Garman and Klass (GK), Parkinson’s, Rogers and Satchell (RS), and Garman and Klass-Yang...

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Bibliographic Details
Main Authors: Muhammad Sheraz, Silvia Dedu, Vasile Preda
Format: Article
Language:English
Published: MDPI AG 2022-10-01
Series:Entropy
Subjects:
volatility
transfer entropy
mutual information
flow of information
financial time series
Online Access:https://www.mdpi.com/1099-4300/24/10/1410

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