Multivariate Lorenz majorization
The Lorenz zonotope is a multivariate generalization of the Lorenz curve. It allows to define multivariate Lorenz majorization whose properties are studied.
We model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework. We find long-memory in both the individual markets and the system of markets depicting non-homogeneous informational inefficiency. Moreover, Bitcoin markets are found to be fractionally cointegrated, where uncertainty negatively impacts this type of cointegration relationship.