The Interplay Between Long Memory and Bootstrap Technique in Virtual and Real Currency Markets: The Evidence on the Pre/Post-COVID Era

Abstract

This article explores the interplay between long memory and the parametric and nonparametric bootstrap techniques in virtual and real currency markets, specifically focusing on Bitcoin and the US dollar (USD) from 2019 to late 2022. The study compares the properties of the bootstrap tests, analyzes long memory effects, and evaluates the significance using P-value plots. Additionally, the research examines the corrected size-power curves to address size distortions. The findings confirm the presence of long memory in the examined currency markets and underscore the importance of accurate bootstrap utilization for robust analysis. The study provides valuable insights for investors and decision-makers in understanding the dynamics of the pre/post-COVID era.