Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes
利用跳跃型过程建模比特币价格与媒体关注度
In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy processes and is able to realistically reproduce the jump-type dynamics of the considered time series. We focus on the low-frequency setup, which is for the Lévy - based models essentially more difficult than the high-frequency case. We design a semiparametric estimation procedure for the statistical…