{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,3]],"date-time":"2026-07-03T22:54:44Z","timestamp":1783119284094,"version":"3.54.6"},"publisher-location":"Cham","reference-count":36,"publisher":"Springer International Publishing","isbn-type":[{"value":"9783319134482","type":"print"},{"value":"9783319134499","type":"electronic"}],"license":[{"start":{"date-parts":[[2014,12,16]],"date-time":"2014-12-16T00:00:00Z","timestamp":1418688000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2014,12,16]],"date-time":"2014-12-16T00:00:00Z","timestamp":1418688000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015]]},"DOI":"10.1007\/978-3-319-13449-9_2","type":"book-chapter","created":{"date-parts":[[2014,12,15]],"date-time":"2014-12-15T13:48:10Z","timestamp":1418651290000},"page":"17-40","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":52,"title":["Noncausal Autoregressive Model in Application to Bitcoin\/USD Exchange Rates"],"prefix":"10.1007","author":[{"given":"Andrew","family":"Hencic","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christian","family":"Gouri\u00e9roux","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2014,12,16]]},"reference":[{"key":"2_CR1","doi-asserted-by":"publisher","first-page":"1946","DOI":"10.1214\/08-AOS632","volume":"37","author":"B Andrews","year":"2009","unstructured":"Andrews, B., Calder, M., Davis, R.: Maximum likelihood estimation for $$\\alpha $$-stable autoregressive processes. Ann. Stat. 37, 1946\u20131982 (2009)","journal-title":"Ann. Stat."},{"key":"2_CR2","doi-asserted-by":"publisher","first-page":"222","DOI":"10.1016\/j.jeconom.2012.08.009","volume":"172","author":"B Andrews","year":"2013","unstructured":"Andrews, B., Davis, R.: Model identification for infinite variance autoregressive processes. J. Econom. 172, 222\u2013234 (2013)","journal-title":"J. Econom."},{"key":"2_CR3","doi-asserted-by":"crossref","unstructured":"Balkema, G., Embrechts, P., Nolde, N.: The shape of asymptotic dependence. In: Shirayev, A., Varadhan, S., Presman, E. (eds.) Springer Proceedings in Mathematics and Statistics, special volume. Prokhorov and Contemporary Probability Theory, vol. 33, pp. 43\u201367 (2013)","DOI":"10.1007\/978-3-642-33549-5_3"},{"key":"2_CR4","doi-asserted-by":"publisher","first-page":"387","DOI":"10.1016\/0165-1765(79)90017-X","volume":"3","author":"O Blanchard","year":"1979","unstructured":"Blanchard, O.: Speculative bubbles: crashes and rational expectations. Econ. Lett. 3, 387\u2013389 (1979)","journal-title":"Econ. Lett."},{"key":"2_CR5","doi-asserted-by":"crossref","unstructured":"Blanchard, O., Watson, M.: Bubbles, rational expectations and financial markets. In: Wachtel, P. (ed.) Crisis in the Economic and Financial Structure, pp. 295\u2013315, Lexington (1982)","DOI":"10.3386\/w0945"},{"key":"2_CR6","unstructured":"Bitcoin: Introduction. Retrieved 4 December 2013, https:\/\/en.bitcoin.it\/wiki\/Introduction (2013)"},{"key":"2_CR7","unstructured":"Bitcoin: Controlled Supply. Retrieved 4 December 2013, https:\/\/en.bitcoin.it\/wiki\/Controlled_Currency_Supply (2013)"},{"key":"2_CR8","unstructured":"Bitcoin: Trade. Retrieved 4 December 2013, https:\/\/en.bitcoin.it\/wiki\/Trade (2013)"},{"key":"2_CR9","unstructured":"Blockchain. Bitcoin Market Capitalization. Retrieved from Bitcoin Block Explorer, http:\/\/blockchain.info\/charts\/market_cap"},{"key":"2_CR10","doi-asserted-by":"publisher","first-page":"273","DOI":"10.1111\/j.1467-9892.1992.tb00114.x","volume":"13","author":"F Breidt","year":"1992","unstructured":"Breidt, F., Davis, R.: Time reversibility, identifiability and independence of innovations for stationary time series. J. Time Ser. Anal. 13, 273\u2013390 (1992)","journal-title":"J. Time Ser. Anal."},{"key":"2_CR11","doi-asserted-by":"publisher","first-page":"175","DOI":"10.1016\/0047-259X(91)90056-8","volume":"36","author":"F Breidt","year":"1991","unstructured":"Breidt, F., Davis, R., Lii, K.: Maximum likelihood estimation for noncausal autoregressive processes. J. Multivar. Anal. 36, 175\u2013198 (1991)","journal-title":"J. Multivar. Anal."},{"key":"2_CR12","doi-asserted-by":"publisher","DOI":"10.1093\/0198296983.001.0001","volume-title":"Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis and Herding","author":"M Brunnermeier","year":"2001","unstructured":"Brunnermeier, M.: Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis and Herding. Oxford University Press, Oxford (2001)"},{"key":"2_CR13","doi-asserted-by":"publisher","first-page":"1143","DOI":"10.1214\/aos\/1176348677","volume":"20","author":"Q Cheng","year":"1992","unstructured":"Cheng, Q.: On the unique representation of non-Gaussian linear processes. Ann. Stat. 20, 1143\u20131145 (1992)","journal-title":"Ann. Stat."},{"key":"2_CR14","unstructured":"Davis, J.: The Crypto-Currency, The New Yorker. Retrieved from\u00a0http:\/\/www.newyorker.com\/reporting\/2011\/10\/10\/111010fa_fact_davis (2011)"},{"key":"2_CR15","doi-asserted-by":"publisher","first-page":"179","DOI":"10.1214\/aop\/1176993074","volume":"13","author":"R Davis","year":"1985","unstructured":"Davis, R., Resnick, S.: Limit theory for moving averages of random variables with regularly varying tail probabilities. Ann. Probab. 13, 179\u2013195 (1985)","journal-title":"Ann. Probab."},{"key":"2_CR16","doi-asserted-by":"publisher","first-page":"533","DOI":"10.1214\/aos\/1176349937","volume":"14","author":"R Davis","year":"1986","unstructured":"Davis, R., Resnick, S.: Limit theory for the sample covariance and correlation functions of moving averages. Ann. Stat. 14, 533\u2013558 (1986)","journal-title":"Ann. Stat."},{"key":"2_CR17","unstructured":"Davis, R., Song, L.: Noncausal Vector AR Processes with Application to Economic Time Series, DP Columbia University (2012)"},{"key":"2_CR18","first-page":"922","volume":"81","author":"G Evans","year":"1991","unstructured":"Evans, G.: Pitfalls in testing for explosive bubbles in asset prices. Am. Econ. Rev. 81, 922\u2013930 (1991)","journal-title":"Am. Econ. Rev."},{"key":"2_CR19","unstructured":"Flitter, E.: FBI shuts alleged online drug marketplace, Silk Road, Reuters. Retrieved from http:\/\/www.reuters.com\/article\/2013\/10\/02\/us-crime-silkroad-raid-idUSBRE9910TR20131002 (2013)"},{"key":"2_CR20","doi-asserted-by":"crossref","unstructured":"Gourieroux, C., Jasiak, J.: Filtering, Prediction and Estimation of Noncausal Processes. CREST (2014)","DOI":"10.1111\/jtsa.12165"},{"key":"2_CR21","unstructured":"Gourieroux, C., Zakoian, J.M.: Explosive Bubble Modelling by Noncausal Cauchy Autoregressive Process. CREST (2013)"},{"key":"2_CR22","unstructured":"Gourieroux, C., Zakoian, J.M.: On Uniqueness of Moving Average Representation of Heavy Tailed Stationary Processes. CREST (2013)"},{"key":"2_CR23","doi-asserted-by":"crossref","unstructured":"Lanne, M., Saikkonen, P.: Noncausal autoregressions for economic time series. J. Time Ser. Econom. 3(3), Article 2 (2011)","DOI":"10.2202\/1941-1928.1080"},{"key":"2_CR24","doi-asserted-by":"publisher","first-page":"623","DOI":"10.1016\/j.ijforecast.2011.08.003","volume":"28","author":"M Lanne","year":"2010","unstructured":"Lanne, M., Luoto, J., Saikkonen, P.: Optimal forecasting of nonlinear autoregressive time series. Int. J. Forecast. 28, 623\u2013631 (2010)","journal-title":"Int. J. Forecast."},{"key":"2_CR25","doi-asserted-by":"publisher","first-page":"447","DOI":"10.1017\/S0266466612000448","volume":"29","author":"M Lanne","year":"2013","unstructured":"Lanne, M., Saikkonen, P.: Noncausal vector autoregression. Econom. Theory 29, 447\u2013481 (2013)","journal-title":"Econom. Theory"},{"key":"2_CR26","unstructured":"Li, S.: Bitcoin now accepted as tuition payment at a Cyprus University, Los Angeles Times. Retrieved from http:\/\/www.latimes.com\/business\/money\/la-fi-mo-cyprus-university-bitcoin-20131120,0,3194094.story#axzz2mXKIff7E (2013)"},{"key":"2_CR27","unstructured":"Litecoin Block Explorer: Litecoin Block Explorer Charts. Retrieved from 4 December 2013, http:\/\/ltc.block-explorer.com\/charts (2013)"},{"key":"2_CR28","unstructured":"Liu, J.: BTC China the world\u2019s largest Bitcoin trading platform, ZD Net. Retrieved from http:\/\/www.zdnet.com\/btc-china-the-worlds-largest-bitcoin-trading-platform-7000023316\/ (2013)"},{"key":"2_CR29","doi-asserted-by":"publisher","first-page":"315","DOI":"10.2307\/1909635","volume":"29","author":"J Muth","year":"1961","unstructured":"Muth, J.: Rational expectations and the theory of price movements. Econometrica 29, 315\u2013335 (1961)","journal-title":"Econometrica"},{"key":"2_CR30","doi-asserted-by":"crossref","unstructured":"Newbold, P.: The exact likelihood function for a mixed autoregressive-moving average process. Biometrika. 61, 423\u2013 426 (1974)","DOI":"10.1093\/biomet\/61.3.423"},{"key":"2_CR31","doi-asserted-by":"crossref","unstructured":"Phillips, P., Shi, S., Yu, J.: Testing for Multiple Bubbles, DP Cowles Foundation, 1843 (2012)","DOI":"10.2139\/ssrn.1981976"},{"key":"2_CR32","doi-asserted-by":"publisher","first-page":"201","DOI":"10.1111\/j.1468-2354.2010.00625.x","volume":"52","author":"P Phillips","year":"2011","unstructured":"Phillips, P., Wu, Y., Yu, J.: Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? Int. Econ. Rev. 52, 201\u2013226 (2011)","journal-title":"Int. Econ. Rev."},{"key":"2_CR33","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-1262-1","volume-title":"Gaussian and Non-Gaussian Linear Time Series and Random Fields","author":"M Rosenblatt","year":"2000","unstructured":"Rosenblatt, M.: Gaussian and Non-Gaussian Linear Time Series and Random Fields. Springer, New York (2000)"},{"key":"2_CR34","unstructured":"Sparshott, J.: Web Money Gets Laundering Rule, The Wall Street Journal. Retrieved \u00a0from http:\/\/online.wsj.com\/news\/articles\/SB10001424127887324373204578374611351125202 \u00a0(2013)"},{"key":"2_CR35","unstructured":"Tagaris, K.: Cyprus details heavy losses for major bank customers, Reuters. Retrieved from http:\/\/www.reuters.com\/article\/2013\/03\/30\/us-cyprus-parliament-idUSBRE92G03I20130330 (2013)"},{"key":"2_CR36","unstructured":"Velde, F.R.: Bitcoin: A primer, Chicago Fed Letter. Retrieved from http:\/\/www.chicagofed.org\/digital_assets\/publications\/chicago_fed_letter\/2013\/cfldecember2013_317.pdf (2013)"}],"container-title":["Studies in Computational Intelligence","Econometrics of Risk"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-319-13449-9_2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,1,24]],"date-time":"2023-01-24T10:52:32Z","timestamp":1674557552000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-3-319-13449-9_2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,12,16]]},"ISBN":["9783319134482","9783319134499"],"references-count":36,"URL":"https:\/\/doi.org\/10.1007\/978-3-319-13449-9_2","relation":{},"ISSN":["1860-949X","1860-9503"],"issn-type":[{"value":"1860-949X","type":"print"},{"value":"1860-9503","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,12,16]]},"assertion":[{"value":"16 December 2014","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}}]}}