GKILLAS, Konstantinos and KATSIAMPA, Paraskevi (2018). An application of extreme value theory to cryptocurrencies. Economics Letters, 164, 109-111.
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18993:410643
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Katsiampa-AnApplicationOfExtremeValueTheory(AM).pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.
Katsiampa-AnApplicationOfExtremeValueTheory(AM).pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.
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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.
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