Photo from archive.org
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… Click to show full 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.
Keywords:
application extreme;
extreme value;
value;
value theory;
theory cryptocurrencies
Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!