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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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: Sheffield Business School > Management
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Depositing User: Jill Hazard
Date Deposited: 20 Mar 2018 14:59
Last Modified: 21 Mar 2018 01:50

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