An application of extreme value theory to cryptocurrencies

DOI10.1016/J.ECONLET.2018.01.020MaRDI QIDQ1787362zbMATH OpenOpenAlexFDO

Authors Konstantinos Gkillas, Paraskevi Katsiampa

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://shura.shu.ac.uk/18993/1/Katsiampa-AnApplicationOfExtremeValueTheory%28AM%29.pdf

zbMATH Keywords

expected shortfallvalue-at-riskextreme value analysiscryptocurrencyBitcoin

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Heavy tails and copulas: limits of diversification revisited
• Price clustering in bitcoin
• Residual life time at great age
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Statistical inference using extreme order statistics
• Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(15)

• Arc length tests for comparing the dynamics between GARCH processes
• Return and volatility spillovers among cryptocurrencies
• Transaction activity and bitcoin realized volatility
• Regulating stochastic clocks§
• Cryptocurrency risk measurement based on MIDAS-Expectile regression model
• Asymmetric tail dependence modeling, with application to cryptocurrency market data
• Vulnerability-CoVaR: investigating the crypto-market
• Expectile hidden Markov regression models for analyzing cryptocurrency returns
• Risk quantification and validation for Bitcoin
• Heterogeneity, jumps and co-movements in transmission of volatility spillovers among cryptocurrencies
• Optimal vs naïve diversification in cryptocurrencies
• Time series analysis of ether cryptocurrency prices: efficiency, predictability, and arbitrage on exchange rates
• Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets?
• Mixed effects models for extreme value index regression
• How is price explosivity triggered in the cryptocurrency markets?

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