Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates
From MaRDI portal
Publication:4558822
DOI10.1007/978-3-319-13449-9_2zbMath1407.62385OpenAlexW214620148MaRDI QIDQ4558822
Christian Gouriéroux, Andrew Hencic
Publication date: 30 November 2018
Published in: Econometrics of Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_2
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Stochastic properties of nonlinear locally-nonstationary filters, Noncausal affine processes with applications to derivative pricing, Unnamed Item, Diversification benefits in the cryptocurrency market under mild explosivity, Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}, Misspecification of noncausal order in autoregressive processes, MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES, Noncausal vector AR processes with application to economic time series, Complexity traits and synchrony of cryptocurrencies price dynamics, Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics, A time-varying parameter model for local explosions
Cites Work
- Model identification for infinite variance autoregressive processes
- Maximum likelihood estimation for noncausal autoregressive processes
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- On the unique representation of non-Gaussian linear processes
- Gaussian and non-Gaussian linear time series and random fields
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Filtering, Prediction and Simulation Methods for Noncausal Processes
- The Shape of Asymptotic Dependence
- NONCAUSAL VECTOR AUTOREGRESSION
- On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- The exact likelihood function for a mixed autoregressive-moving average process
- Noncausal Autoregressions for Economic Time Series