With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling
of cryptocurrencies. This paper provides the first GARCH modelling of the seven most …

The effect of symmetric and asymmetric information on volatility structure of crypto-currency
markets: A case study of bitcoin currency | Emerald Insight Books and journals Case studies …

This paper studies the model selection problem in a large class of causal time series
models, which includes both the ARMA or AR (∞) processes, as well as the GARCH or …

We consider the issue of strong consistency for model selection in a large class of causal
time series models, including AR (∞), ARCH (∞), TARCH (∞), ARMA–GARCH and many …

This paper aims at providing statistical guarantees for a kernel based estimation of time
varying parameters driving the dynamic of local stationary processes. We extend the results …

This study investigates whether symmetric and asymmetric volatility effects are persisted in
the daily return series of Bitcoin currency compared to the gold and fiat money system using …

In this article, we study the modelisation of GJR-GARCH process with N (m, 1) using the
quasi-maximum likelihood estimator. First, we determine the process's stationarity …

In this paper, we provide an answer to the following question: In the particular case of a non-
differentiable likelihood, is the formula for the BIC model selection criterion the same? More …

We propose a consistent estimator for the noise mean m of the GARCH process based on
Laplace (m, 1) errors. Also, we prove the consistency and asymptotic normality for the Quasi …

This paper extends the study of kernel-based estimation for locally stationary processes
proposed in Dahlhaus et al., 2019 to infinite-memory processes models such as locally …