Econometrics of Risk

Volume 583 of the series Studies in Computational Intelligence pp 17-40


Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates

  • Andrew HencicAffiliated withYork University, Department of Economics
  • , Christian GouriérouxAffiliated withUniversity of Toronto and CREST Email author 

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This paper introduces a noncausal autoregressive process with Cauchy errors in application to the exchange rates of the Bitcoin electronic currency against the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series displays episodes of local trends, which can be modelled and interpreted as speculative bubbles. The bubbles may result from the speculative component in the on-line trading. The Bitcoin/USD exchange rates are modelled and predicted.

JEL number:

C14 G32 G23