One shape fits all? A comprehensive examination of cryptocurrency return distributions

【Author】 Szczygielski, Jan Jakub; Karathanasopoulos, Andreas; Zaremba, Adam

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】We perform the most comprehensive test of cryptocurrency return distributions to date. We fit 58 hypothetical distributions to 15 major cryptocurrencies to establish which of these best describes cryptocurrency returns. The answer is: 'It depends.' A sharp-peaked Cauchy distribution is the most likely distribution for the majority of return series. Specific distributions are definitively identified for only a handful of cryptocurrencies. The best fitting distributions are peaked and thick-tailed, with some possessing variable shape parameters. Our findings have implications for financial modelling and its applications, such as risk measurement and risk management.

【Keywords】Cryptocurrencies; return distributions; bitcoin; skewness; kurtosis

【发表时间】2019 10-Nov

【收录时间】2022-01-02

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