An application of extreme value theory to cryptocurrencies
type: Item
instance of: scholarly article
title: An application of extreme value theory to cryptocurrencies
zbMATH Open document ID: 1397.91599
author: Konstantinos Gkillas
author: Paraskevi Katsiampa
published in: Economics Letters
publication date: 2018-10-05T00:00:00Z
full work available at URL: Katsiampa-AnApplicationOfExtremeValueTheory(AM).pdf
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6947492
zbMATH Keywords: cryptocurrency
zbMATH Keywords: Bitcoin
zbMATH Keywords: extreme value analysis
zbMATH Keywords: value-at-risk
zbMATH Keywords: expected shortfall
MaRDI profile type: Publication
OpenAlex ID: W2788328679
cites work: Residual life time at great age
cites work: Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
cites work: Heavy tails and copulas: limits of diversification revisited
cites work: Volatility estimation for Bitcoin: a comparison of GARCH models
cites work: Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
cites work: Statistical inference using extreme order statistics
cites work: Price clustering in bitcoin
DOI: 10.1016/J.ECONLET.2018.01.020
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description: scientific article; zbMATH DE number 6947492