An application of extreme value theory to cryptocurrencies
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DOI: 10.1016/j.econlet.2018.01.020
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… read more here.
Keywords: application extreme; extreme value; value; value theory ... See more keywords