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Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates
10 references·16 citing·47 second hop
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates (2014)Noncausal Autoregressive Model in Applica…Testing for Multiple Bubbles (2012)Testing for Multiple BubblesNONCAUSAL VECTOR AUTOREGRESSION (2012)NONCAUSAL VECTOR AUTOREGRESSI…Testing for Multiple Bubbles (2011)Testing for Multiple BubblesEXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…Asset Pricing under Asymmetric Information (2001)Asset Pricing under Asymmetri…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Speculative bubbles, crashes and rational expectations (1979)Speculative bubbles, crashes …Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility (2021)Forecasting the Volatility of…Forecasting cryptocurrency volatility (2021)Forecasting cryptocurrency vo…Forecasting Bitcoin with technical analysis: A not-so-random forest? 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Taqqu Chapman and Hall, 1994 (1997)Bubbles in food commodity markets: Four decades of evidence (2013)Detecting bubbles in Hong Kong residential property market (2013)Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2015)
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References

  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 1979Speculative bubbles, crashes and rational expectations529 cited
  • 2001Asset Pricing under Asymmetric Information408 cited
  • 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities301 cited
  • 2011Testing for Multiple Bubbles121 cited
  • 2012NONCAUSAL VECTOR AUTOREGRESSION90 cited
  • 2012Testing for Multiple Bubbles75 cited

Cited by

  • 2019Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models70 cited
  • 2021Forecasting cryptocurrency volatility69 cited
  • 2019Detecting bubbles in Bitcoin price dynamics via market exuberance67 cited
  • 2021Forecasting Bitcoin with technical analysis: A not-so-random forest?66 cited
  • 2017Modelling Crypto-Currencies Financial Time-Series58 cited

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  • 2020ETH analysis and predictions utilizing deep learning50 cited
  • 2021Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility49 cited
  • 2019MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES38 cited
  • 2019Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics38 cited
  • 2019Systematic Erudition of Bitcoin Price Prediction using Machine Learning Techniques36 cited
  • 2019Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price36 cited
  • 2018Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling35 cited
  • 2021Bitcoin ve Altcoin Kripto Para Piyasalarında Finansal Balonlar33 cited
  • 2019Market attention and Bitcoin price modeling: theory, estimation and option pricing33 cited
  • 2016Identification of Mixed Causal-Noncausal Models in Finite Samples32 cited
  • 2019Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models31 cited