Tail dependence in the return-volume of leading cryptocurrencies

【Author】 Naeem, Muhammad; Bouri, Elie; Boako, Gideon; Roubaud, David

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We analyze the average and extreme dependence between returns and trading volumes of three main cryptocurrencies (Bitcoin, Ethereum and Litecoin) via GARCH-copula models. The copula models used allow for checking the dependence structure under various market conditions. The results indicate that the Student-t and time varying symmetrized Joe Clayton (SJC) copulas are the best choices for the three cryptocurrencies. The tail dependence of return-volume is asymmetric under Gumbel, Clayton and SJC copulas. Meanwhile, extreme returns are associated with extreme trading volumes, and tail dependence is stronger when returns and volumes are high than when returns and volume are low.

【Keywords】Return-volume; Cryptocurrencies; Bitcoin; GARCH-copula; Tail-dependence; Asymmetry

【发表时间】2020 OCT

【收录时间】2022-01-02

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