This letter studies the long memory behavior in bitcoin return and volatiliy.

What is it about?

Bitcoin is the most important cryptocurrency. There are thouthands of daily transactions worth several millons dollars. Consequently, a detailed study of this new asset is justified.

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Why is it important?

The letter uncovers the different behavior in the long memory of bitcoin return and bitcoin volatility. In particular, volatility is persistent during all the time under study.

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