TY  - GEN 
AU  - Nikolova, Venelina
AU  - Trinidad Segovia, Juan Evangelista
AU  - Fernández Martínez, Manuel
AU  - Sánchez Granero, Miguel Ángel
PY  - 2020
SN  - 2227-7390
UR  - http://hdl.handle.net/10835/8412
AB  - One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent. In this paper,...
LA  - en
PB  - MDPI
KW  - volatility cluster
KW  - Hurst exponent
KW  - FD4 approach
KW  - volatility series
KW  - probability of volatility cluster
KW  - S& P500
KW  - Bitcoin
KW  - Ethereum
KW  - Ripple
TI  - A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets
ER  -