An application of extreme value theory to cryptocurrencies

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

zbMATH Keywords

extreme value analysisvalue-at-riskexpected shortfallcryptocurrencyBitcoin

Mathematics Subject Classification ID

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

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