Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates

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

zbMATH Keywords

autoregressive modelexchange rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Model identification for infinite variance autoregressive processes
• Maximum likelihood estimation for noncausal autoregressive processes
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• Limit theory for the sample covariance and correlation functions of moving averages
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• 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

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