TY  - JOUR
AU  - Pietrych, Lukasz
AU  - Sandubete Galán, Julio Emilio
AU  - Escot Mangas, Lorenzo
PY  - 2021
DO  - 10.1016/j.cnsns.2021.105901
SN  - 1007-5704
UR  - https://hdl.handle.net/20.500.14352/99653
T2  - Communications in Nonlinear Science and Numerical Simulation
AB  - In this paper we test for nonlinearity and chaos in some cryptocurrencies returns and volatility. Financial markets are characterized by the so-called chaos model-data paradox, that is, it is relatively easy to design theoretical dynamic financial...
LA  - eng
M2  - 1
PB  - Elsevier
KW  - Chaos model-data paradox
KW  - Nonlinearity tests
KW  - Lyapunov exponents
KW  - Lyapunov exponents Direct and Jacobian indirect methods
KW  - Cryptocurrency time series
TI  - Solving the chaos model-data paradox in the cryptocurrency market
TY  - journal article
ER  -