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20162022
most citedESG-Valued Portfolio Optimization and Dynamic Asset Pricing

12 citations · 22 across the 6 of their papers we have counts for

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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…