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An application of extreme value theory to cryptocurrencies

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  • Gkillas, Konstantinos
  • Katsiampa, Paraskevi

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.

Suggested Citation

  • Gkillas, Konstantinos & Katsiampa, Paraskevi, 2018. "An application of extreme value theory to cryptocurrencies," Economics Letters, Elsevier, vol. 164(C), pages 109-111.
  • Handle: RePEc:eee:ecolet:v:164:y:2018:i:c:p:109-111
    DOI: 10.1016/j.econlet.2018.01.020
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Cryptocurrency; Bitcoin; Extreme value analysis; Value-at-Risk; Expected shortfall;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • G01 - Financial Economics - - General - - - Financial Crises

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