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A first econometric analysis of the CRIX family

Author

Listed:
  • Chen, Shi
  • Chen, Cathy Yi-Hsuan
  • Härdle, Wolfgang Karl
  • Lee, TM
  • Ong, Bobby

Abstract

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact CRIX), EFCRIX (Exact Full CRIX) and also intraday CRIX movements may be found on the webpage of hu.berlin/crix.

Suggested Citation

  • Chen, Shi & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Lee, TM & Ong, Bobby, 2016. "A first econometric analysis of the CRIX family," SFB 649 Discussion Papers 2016-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2016-031
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