An application of extreme value theory to cryptocurrencies (Q1787362)

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An application of extreme value theory to cryptocurrencies
scientific article

    Statements

    title
    An application of extreme value theory to cryptocurrencies (English)
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    author
    Konstantinos Gkillas
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    Paraskevi Katsiampa
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    publication date
    5 October 2018
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    zbMATH Keywords
    cryptocurrency
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    Bitcoin
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    extreme value analysis
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    value-at-risk
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    expected shortfall
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    60G70
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    62P05
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    zbMATH DE Number
    6947492
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    OpenAlex ID
    W2788328679
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