An application of extreme value theory to cryptocurrencies

GKILLAS, Konstantinos and KATSIAMPA, Paraskevi (2018). An application of extreme value theory to cryptocurrencies. Economics Letters, 164, 109-111.

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Official URL: https://www.sciencedirect.com/science/article/pii/...
Link to published version:: https://doi.org/10.1016/j.econlet.2018.01.020
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    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.

    Item Type: Article
    Departments - Does NOT include content added after October 2018: Sheffield Business School > Department of Management
    Identification Number: https://doi.org/10.1016/j.econlet.2018.01.020
    Page Range: 109-111
    Depositing User: Jill Hazard
    Date Deposited: 20 Mar 2018 14:59
    Last Modified: 17 Jun 2020 10:55
    URI: http://shura.shu.ac.uk/id/eprint/18993

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