An application of extreme value theory to cryptocurrencies

Tools

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

[+][-]

Documents

18993:410643

[+][-]

18993:410643

[thumbnail of Katsiampa-AnApplicationOfExtremeValueTheory(AM).pdf]

Preview

PDF
Katsiampa-AnApplicationOfExtremeValueTheory(AM).pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (275kB) | Preview

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.

More Information

Official URL:

https://www.sciencedirect.com/science/article/pii/...

Departments - Does NOT include content added after October 2018:

Sheffield Business School > Department of Management

Page Range:

109-111

Identifiers

Identification Number:

10.1016/j.econlet.2018.01.020

ORCID:

https://orcid.org/0000-0003-0477-6503