Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes

DOI10.1002/ASMB.2798MaRDI QIDQ6581541zbMATH OpenFDO

Authors Ekaterina Morozova, Vladimir Panov

Publication date 30 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

deconvolutionbitcoinlow-frequency datamedia attentionLévy process

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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• Market attention and Bitcoin price modeling: theory, estimation and option pricing
• Modelling and predicting the Bitcoin volatility using GARCH models
• Multivariate asset-pricing model based on subordinated stable processes
• Nonparametric adaptive estimation for pure jump Lévy processes
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric inference for discretely sampled Lévy processes
• Spectral estimation of the fractional order of a Lévy process
• Statistical inference for time-changed Lévy processes via composite characteristic function estimation
• Volatility estimation for Bitcoin: a comparison of GARCH models

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