Lévy processes on the cryptocurrency market
Download full text from publisher
References listed on IDEAS
- Gkillas, Konstantinos & Katsiampa, Paraskevi, 2018. "An application of extreme value theory to cryptocurrencies," Economics Letters, Elsevier, vol. 164(C), pages 109-111.
- Stephen Chan & Jeffrey Chu & Saralees Nadarajah & Joerg Osterrieder, 2017. "A Statistical Analysis of Cryptocurrencies," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(2), pages 1-23, May.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000.
"Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian,"
Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 159-179, September.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-060, New York University, Leonard N. Stern School of Business-.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," NBER Working Papers 7488, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers 00-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
- 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.
- Phillip, Andrew & Chan, Jennifer S.K. & Peiris, Shelton, 2018. "A new look at Cryptocurrencies," Economics Letters, Elsevier, vol. 163(C), pages 6-9.
- Borri, Nicola, 2019. "Conditional tail-risk in cryptocurrency markets," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 1-19.
More about this item
Keywordscryptocurrency market; distribution fitting; Generalized Hyperbolic distribution; Alpha-Stable distribution; Lévy process;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-PAY-2019-09-02 (Payment Systems & Financial Technology)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:war:wpaper:2019-15. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcin Bąba). General contact details of provider: http://edirc.repec.org/data/fesuwpl.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.