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:: 10.1016/j.econlet.2018.01.020

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: Sheffield Business School > Management
Identification Number: 10.1016/j.econlet.2018.01.020
Depositing User: Jill Hazard
Date Deposited: 20 Mar 2018 14:59
Last Modified: 21 Mar 2018 01:50
URI: http://shura.shu.ac.uk/id/eprint/18993

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