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20192026
most citedModelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation

5 citations · 5 across the 16 of their papers we have counts for

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Showing 2021Show all

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q-fin.ST2021

Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes

Abootaleb Shirvani, Stefan Mittnik, W. Brent Lindquist +1

We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin…