Aalborg, H. A., Molnár, P., & de Vries, J. E. (2019). What can explain the price, volatility and trading volume of Bitcoin? Finance Research Letters, 29, 255–265.
Ahn, Y., & Kim, D. (2021). Emotional trading in the cryptocurrency market. Finance Research Letters, 42, 101912.
- Al-Shboul, M., & Anwar, S. (2017). Long memory behavior in Singapore’s tourism market. International Journal of Tourism Research, 19, 524–534.
Paper not yet in RePEc: Add citation now
Andrews, D. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 59, 817–858.
Ante, L., Fiedler, I., & Strehle, E. (2021a). The influence of stablecoin issuances on cryptocurrency markets. Finance Research Letters, 41(July), 101867.
Ante, L., Fiedler, I., & Strehle, E. (2021b). The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin. Technological Forecasting & Social Change, 170, 120851.
- Arouri, M. E., Hammoudeh, S., Lahiani, A., & Nguyen, D. K. (2012). Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. The Quarterly Review of Economics and Finance, 52(2), 207–218.
Paper not yet in RePEc: Add citation now
Assaf, A. (2015). Long memory and level shifts in REITs returns and volatility. International Review of Financial Analysis, 42, 172–182.
Assaf, A., Gil-Alana, L. A., & Mokni, K. (2022). True or spurious long memory in the cryptocurrency markets: Evidence from a multivariate test and other Whittle estimation methods. Empirical Economics, 63, 1543–1570.
Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.
Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22.
Bai, J., & Perron, P. (2006). Multiple structural change models: A simulation analysis. In D. Corbae, S. N. Durlauf, & B. E. Hansen (Eds.), Econometric Theory and Practice: Frontiers of Analysis and Applied Research (pp. 212–238). Cambridge University Press.
Baillie, R. T., & Morana, C. (2009). Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach. Journal of Economic Dynamics and Control, 33(8), 1577–1592.
Balcilara, M., Bouri, E., Gupta, R., & Roubaud, D. (2017). Can volume predict Bitcoin returns and volatility? A quantiles-based approach. Economic Modelling, 64, 74–81.
- Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017). Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications, 484, 82–90.
Paper not yet in RePEc: Add citation now
Baur, D. G., Cahill, D., Godfrey, K., & Liu, Z. (2019). Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume. Finance Research Letters, 31, 78–92.
Bianchi, D., Babiak, M., & Dickerson, A. (2022). Trading volume and liquidity provision in cryptocurrency markets. Journal of Banking and Finance, 142, 106547.
- Blau, B. M. (2017). Price dynamics and speculative trading in Bitcoin. Research in International Business and Finance, 41, 15–21.
Paper not yet in RePEc: Add citation now
Bouraoui, T. (2020). The drivers of Bitcoin trading volume in selected emerging countries. The Quarterly Review of Economics and Finance, 76, 218–229.
Bouri, E., Gupta, R., & Roubaud, D. (2019a). Herding behaviour in cryptocurrencies. Finance Research Letters, 29(June), 216–221.
Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D. (2017). Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters, 32(November), 87–95.
Bouri, E., Lau, C. K., Lucey, B., & Roubaud, D. (2019b). Trading volume and the predictability of return and volatility in the cryptocurrency market. Finance Research Letters, 29, 340–346.
- Bradshaw, M., Graaf, T. V., & Connolly, R. (2019). Preparing for the new oil order? Saudi Arabia and Russia. Energy Strategy Reviews, 26, 100374.
Paper not yet in RePEc: Add citation now
Briola, A., Vidal-Tomás, D., Wang, Y., & Aste, T. (2023). Anatomy of a Stablecoin’s failure: The Terra-Luna case. Finance Research Letters, 51(January), 103358.
Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. The Quarterly Journal of Economics, 108(4), 905–939.
Caporale, G. M., Karanasos, M., Yfanti, S., & Kartsaklas, A. (2021). Investors’ trading behaviour and stock market volatility during crisis periods: A dual long-memory model for the Korean Stock Exchange. International Journal of Finance & Economics, 26(3), 4441–4461.
Charfeddine, L. (2016). Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. Economic Modelling, 53(February), 354–374.
- Charfeddine, L., & Guégan, D. (2012). Breaks or long memory behavior: An empirical investigation. Physica a: Statistical Mechanics and Its Applications, 391(22), 5712–5726.
Paper not yet in RePEc: Add citation now
Charfeddine, L., Benlagha, N., & Maouchi, Y. (2020). Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. Economic Modelling, 85(February), 198–217.
Charles, A., & Darné, O. (2019). Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. Economics Bulletin, 39(2), 954–968.
Coakley, J., Dollery, J., & Kellard, N. (2011). Long memory and structural breaks in commodity futures markets. The Journal of Futures Markets, 31(11), 1076–1113.
Copeland, T. E. (1976). A model of asset trading under the assumption of sequential information arrival. The Journal of Finance, 31(4), 1149–1168.
Copeland, T. E., & Friedman, D. (1987). The effect of sequential information arrival on asset prices: An experimental study. The Journal of Finance, 42(3), 763–797.
Dasgupta, A., Prat, A., & Verardo, M. (2011). The price impact of institutional herding. The Review of Financial Studies, 24(3), 892–925.
- El Alaoui, M., Bouri, E., & Roubaud, D. (2019). Bitcoin price–volume: A multifractal cross-correlation approach. Finance Research Letters, 31, 374–381.
Paper not yet in RePEc: Add citation now
- Fakhfekh, M., & Jeribi, A. (2020). Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models. Research in International Business and Finance, 51, 101075.
Paper not yet in RePEc: Add citation now
Fleming, J., & Kirby, C. (2011). Long memory in volatility and trading volume. Journal of Banking & Finance, 35(7), 1714–1726.
Fousekis, P., & Tzaferi, D. (2021). Returns and volume: Frequency connectedness in cryptocurrency markets. Economic Modelling, 95, 13–20.
Gallant, A. R., Rossi, P. E., & Tauchen, G. (1992). Stock prices and volume. The Review of Financial Studies, 5(2), 199–242.
Gandal, N., Hamrick, J., Moore, T., & Oberman, T. (2018). Price manipulation in the Bitcoin ecosystem. Journal of Monetary Economics, 95(May), 86–96.
Gebka, B., & Wohar, M. E. (2013). Causality between trading volume and returns: Evidence from quantile regressions. International Review of Economics & Finance, 27(June), 144–159.
- Gemici, E., & Polat, M. (2019). Relationship between price and volume in the Bitcoin market. Journal of Risk Finance, 20(5), 435–444.
Paper not yet in RePEc: Add citation now
- Granger, C. W., & Hyung, N. (2004). Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance, 11(3), 399–421.
Paper not yet in RePEc: Add citation now
Granger, C. W., & Joyeux, R. (1980). An Introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis, 1(1), 15–29.
- Han, J., Li, X., Ma, G., & Kennedy, A. (2022). Long memory in retail trading activity. Retrieved from SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4242634 .
Paper not yet in RePEc: Add citation now
He, H., & Wang, J. (1995). Differential information and dynamic behavior of stock trading volume. The Review of Financial Studies, 8(4), 919–972.
- Hurst, H. (1951). Long-term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers, 116(1), 770–799.
Paper not yet in RePEc: Add citation now
- James, N. (2021). Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19. Physica a: Statistical Mechanics and Its Applications, 570(May), 125831.
Paper not yet in RePEc: Add citation now
- James, N., Menzies, M., & Chan, J. (2021). Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19. Physica a: Statistical Mechanics and Its Applications, 565(1), 125581.
Paper not yet in RePEc: Add citation now
Karanasos, M., & Kartsaklas, A. (2009). Dual long-memory, structural breaks and the link between turnover and the range-based volatility. Journal of Empirical Finance, 16(5), 838–851.
Kellard, N. M., Jiang, Y., & Wohar, M. (2015). Spurious long memory, uncommon breaks and the implied-realized volatility puzzle. Journal of International Money and Finance, 56(September), 36–54.
Khuntia, S., & Pattanayak, J. (2020). Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume. Finance Research Letters, 32, 101077.
- Kim, C.-S., & Phillips, P. C. (2000). Modified log periodogram regression. Yale University.
Paper not yet in RePEc: Add citation now
King, T., & Koutmos, D. (2021). Herding and feedback trading in cryptocurrency markets. Annals of Operations Research, 300, 79–96.
- Kumar, A. (2004). Long memory in stock trading volume: Evidence from Indian stock market. Retrieved from SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=557681 .
Paper not yet in RePEc: Add citation now
- Künsch, H. (1987). Statistical aspects of self-similar processes. In Proceedings of the 1st world congress of the Bernoulli society (pp. 67–74). VNU Science Press.
Paper not yet in RePEc: Add citation now
Lahmiri, S., & Bekiros, S. (2018). Chaos, randomness and multi-fractality in Bitcoin market. Chaos, Solitons & Fractals, 106, 28–34.
- Lanouar, C. (2016). Breaks or long Range dependence in the futures energy volatility: Out-of-sample forecasting and VaR analysis. Economic modelling, 53, 354–374.
Paper not yet in RePEc: Add citation now
Leccadito, A., Rachedi, O., & Urga, G. (2015). True versus spurious long memory: Some theoretical results and a monte carlo comparison. Econometric Reviews, 34(4), 452–479.
Lo, A. W. (1991). Long-term memory in stock market prices. Econometrica, 59(5), 1279–1313.
Lo, A. W., & Wang, J. (2000). Trading volume: Definitions, data analysis, and implications of portfolio theory. The Review of Financial Studies, 13(2), 257–300.
Lobato, I., & Velasco, C. (2000). Long memory in stock-market trading volume. Journal of Business & Economic Statistics, 18(4), 410–427.
Mandelbrot, B. (1972). Statistical methodology for nonperiodic cycles: From the covariance To R/S analysis. Annals of Economic and Social Measurement, 1(3), 259–290.
McCloskey, A., & Hill, J. B. (2017). Parameter estimation robust to low-frequency contamination. Journal of Business & Economic Statistics, 35(4), 598–610.
- Mensi , W., Al-Yahyaee, K. H., & Kang, S. H. (2016). Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum. Finance Research Letters, 29(June), 222–230.
Paper not yet in RePEc: Add citation now
Mohamad, A., & Stavroyiannis, S. (2022). Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19. Journal of International Financial Markets, Institutions and Money, 80(September), 101646.
Nasir, M. A., Huynh, T. L., Nguyen, S. P., & Duong, D. (2019). Forecasting cryptocurrency returns and volume using search engines. Financial Innovation, 5(2), 1–13.
Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263–2295.
Olmo, J., Pilbeam, K., & Pouliot, W. (2011). Detecting the presence of insider trading via structural break tests. Journal of Banking & Finance, 35(11), 2820–2828.
- Partz, H. (2022). A brief history of Bitcoin crashes and bear markets: 2009–2022. Retrieved from Cointelegraph: the future of money: https://cointelegraph.com/news/a-brief-history-of-bitcoin-crashes-and-bear-markets-2009-2022 .
Paper not yet in RePEc: Add citation now
Philippas, D., Philippas, N., Tziogkidis, P., & Rjiba, H. (2020). Signal-herding in cryptocurrencies. Journal of International Financial Markets, Institutions and Money, 65(March), 101191.
Phillip, A., Chan, J. S., & Peiris, S. (2018). A new look at cryptocurrencies. Economics Letters, 163(February), 6–9.
- Phillips, P. C. (1999). Unit root log periodogram regression. Retrieved from SSRN Working Papers: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=216931 . Accessed 26 Aug 2022.
Paper not yet in RePEc: Add citation now
Phillips, P. C. (2007). Unit root log periodogram regression. Journal of Econometrics, 138(1), 104–124.
- Phillips, P. C., & Shimotsu, K. (2004). Local whittle estimation in nonstationary and unit root cases. The Annals of Statistics, 32(2), 656–692.
Paper not yet in RePEc: Add citation now
- Phillips, P. J., & Pohl, G. (2022). Bitcoin’s place in a mean-variance efficient portfolio of seven cryptocurrencies. Retrieved from SSRN : https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4234823 . Accessed 26 Aug 2022.
Paper not yet in RePEc: Add citation now
Qu, Z. (2011). A test against spurious long memory. Journal of Business & Economic Statistics, 29(3), 423–438.
- Robinson, P. (1995a). Log-periodogram regression of time Series with long range dependence. The Annals of Statistics, 23(3), 1048–1072.
Paper not yet in RePEc: Add citation now
- Robinson, P. (1995b). Gaussian semiparametric estimation of long range dependence. The Annals of Statistics, 23(5), 1630–1661.
Paper not yet in RePEc: Add citation now
- Rosenfeld, E. (2015). Bitcoin is one of 2015′s biggest winners. Retrieved from CNBC: https://www.cnbc.com/2015/12/29/bitcoin-is-one-of-2015s-biggest-winners.html . Accessed 28 Aug 2022.
Paper not yet in RePEc: Add citation now
Rossi, E., & Magistris, P. S. (2013). Long memory and tail dependence in trading volume and volatility. Journal of Empirical Finance, 22(June), 94–112.
- Sahoo, P. K. (2021). COVID-19 pandemic and cryptocurrency markets: An empirical analysis from a linear and nonlinear causal relationship. Studies in Economics and Finance, 38(2), 454–468.
Paper not yet in RePEc: Add citation now
Shimotsu, K. (2006). Simple (but Effective) tests of long memory versus structural breaks. Queen's Economics Department Working Paper No. 1101: https://www.econ.queensu.ca/research/working-papers/1101 .
Shimotsu, K. (2010). Exact local Whittle estimation of fractional integration with unknown mean and time trend. Econometric Theory, 26(2), 501–540.
- Shimotsu, K., & Phillips, P. C. (2005). Exact local whittle estimation of fractional integration. The Annals of Statistics, 33(4), 1890–1933.
Paper not yet in RePEc: Add citation now
Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165–206.
- Sidorenko, E. (2019). Stablecoin as a new financial instrument. In S. I. Ashmarina, M. Vochozka, & V. V. Mantulenko (Eds.), Digital age: Chances, challenges and future (pp. 630–638). Springer Nature.
Paper not yet in RePEc: Add citation now
Silva, P. V., Klotzle, M. C., Pinto, A. C., & Gomes, L. L. (2019). Herding behavior and contagion in the cryptocurrency market. Journal of Behavioral and Experimental Finance, 22(June), 41–50.
Smith, A. (2005). Level shifts and the illusion of long memory in economic time series. Journal of Business & Economic Statistics, 23(3), 321–335.
Soylu, P. K., Okur, M., Çatıkkaş, O., & Altintig, Z. A. (2020). Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple. Journal of Risk and Financial Management, 13(6), 1–20.
- Stosic, D., Stosic, D., Ludermir, T. B., & Stosic, T. (2019). Multifractal behavior of price and volume changes in the cryptocurrency market. Physica a: Statistical Mechanics and Its Applications, 520, 54–61.
Paper not yet in RePEc: Add citation now
- Telli, Ş, & Chen, H. (2020). Structural breaks and trend awareness-based interaction in crypto markets. Physica a: Statistical Mechanics and Its Applications, 558(15), 124913.
Paper not yet in RePEc: Add citation now
- Thompson, P. (2019). Cryptocurrency news: What happened in 2019? Retrieved from Coingeek: https://coingeek.com/cryptocurrency-news-what-happened-in-2019/ . Accessed 2 Sep 2022.
Paper not yet in RePEc: Add citation now
- Tsuji, C. (2002). Long-term memory and applying the multi-factor ARFIMA models in financial markets. Asia-Pacific Financial Markets, 9(3), 283–304.
Paper not yet in RePEc: Add citation now
Varneskov, R. T., & Perron, P. (2018). Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Quantitative Finance, 18(3), 371–393.
- Vidal-Tomás, D. (2022). Which cryptocurrency data sources should scholars use? International Review of Financial Analysis, 81(May), 102061.
Paper not yet in RePEc: Add citation now
Wang, J. (1994). A model of competitive stock trading volume. Journal of Political Economy, 102(1), 127–168.
Wang, J.-N., Liu, H.-C., & Hsu, Y.-T. (2020). Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter? Finance Research Letters, 34, 101243.
Wang, P., Zhang, W., Li, X., & Shen, D. (2019). Trading volume and return volatility of Bitcoin market: Evidence for the sequential information arrival hypothesis. Journal of Economic Interaction and Coordination, 14, 377–418.
Wei, Y., Wang, Y., & Huang, D. (2010). Forecasting crude oil market volatility: Further evidence using GARCH-class models. Energy Economics, 32(6), 1477–1484.
Zhao, Y., Liu, N., & Li, W. (2022). Industry herding in crypto assets. International Review of Financial Analysis, 84(November), 102335.