An application of extreme value theory to cryptocurrencies
From MaRDI portal
Publication:1787362
DOI10.1016/j.econlet.2018.01.020zbMath1397.91599OpenAlexW2788328679MaRDI QIDQ1787362
Paraskevi Katsiampa, Konstantinos Gkillas
Publication date: 5 October 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://shura.shu.ac.uk/18993/1/Katsiampa-AnApplicationOfExtremeValueTheory%28AM%29.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70)
Related Items (7)
Return and volatility spillovers among cryptocurrencies ⋮ Risk quantification and validation for Bitcoin ⋮ Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates ⋮ Optimal vs naïve diversification in cryptocurrencies ⋮ Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets? ⋮ Transaction activity and bitcoin realized volatility ⋮ How is price explosivity triggered in the cryptocurrency markets?
Cites Work
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Residual life time at great age
- Statistical inference using extreme order statistics
- Heavy tails and copulas: limits of diversification revisited
- Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
- Volatility estimation for Bitcoin: a comparison of GARCH models
- Price clustering in bitcoin
This page was built for publication: An application of extreme value theory to cryptocurrencies
