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
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 |
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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: | 18 Mar 2021 01:30 |
URI: | https://shura.shu.ac.uk/id/eprint/18993 |
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