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An application of extreme value theory to cryptocurrencies


  • Gkillas, Konstantinos
  • Katsiampa, Paraskevi


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

    1. Urquhart, Andrew, 2017. "Price clustering in Bitcoin," Economics Letters, Elsevier, vol. 159(C), pages 145-148.
    2. Gkillas (Gillas), Konstantinos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2016. "The risk in capital controls," Finance Research Letters, Elsevier, vol. 19(C), pages 261-266.
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    6. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
    7. Dyhrberg, Anne Haubo, 2016. "Bitcoin, gold and the dollar – A GARCH volatility analysis," Finance Research Letters, Elsevier, vol. 16(C), pages 85-92.
    8. Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
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    10. Longin, Francois, 2005. "The choice of the distribution of asset returns: How extreme value theory can help?," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 1017-1035, April.
    11. Joerg Osterrieder & Julian Lorenz, 2017. "A Statistical Risk Assessment Of Bitcoin And Its Extreme Tail Behavior," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-19, March.
    12. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
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    More about this item


    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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