An application of extreme value theory to cryptocurrencies

【Author】 Gkillas, Konstantinos; Katsiampa, Paraskevi

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】We study the tail behaviour of the returns of five major cryptocurrencies. By employing an extreme value analysis and estimating Value-at-Risk and Expected Shortfall as tail risk measures, we find that Bitcoin Cash is the riskiest, while Bitcoin and Litecoin are the least risky cryptocurrencies. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency; Bitcoin; Extreme value analysis; Value-at-Risk; Expected shortfall

【发表时间】2018 MAR

【收录时间】2022-01-02

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