Jumps and Cojumps analyses of major and minor cryptocurrencies

【Author】 Phiromswad, Piyachart; Chatjuthamard, Pattanaporn; Treepongkaruna, Sirimon; Srivannaboon, Sabin

【Source】PLOS ONE

【影响因子】3.752

【Abstract】This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

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【发表时间】2021 44595

【收录时间】2022-01-02

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