The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk

【Author】 Zhang, Yuanyuan; Chu, Jeffrey; Chan, Stephen; Chan, Brandon

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】Ethereum was the first decentralised platform to support smart contracts. It has attracted significant publicity and captured the interests of a wide range of institutions, enthusiasts and even world leaders. We have analysed the market price index for all exchanges trading in Ethereum versus three global currencies, the Korean Won; Euro; US Dollar; Bitcoin, and the Global Price Index for Ethereum, through the fitting of the Generalised Hyperbolic distributions and its subclasses. Our results show that returns are clearly non-normal and the Generalised Hyperbolic and its subset of distributions fit well jointly for all of the indices. We also analyse the long term memory effect for the returns of Ether, compare the Value at Risk and Expected Shortfall based on historical Ether data and other financial instruments, and backtesting was also performed to test the extreme tails. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Generalised hyperbolic; Statistics; Backtesting; Risk measures; Cryptocurrencies

【发表时间】2019 15-Jul

【收录时间】2022-01-02

【文献类型】

【主题类别】

--