An application of extreme value theory to cryptocurrencies
DOI10.1016/J.ECONLET.2018.01.020zbMATH Open1397.91599OpenAlexW2788328679MaRDI QIDQ1787362FDOQ1787362
Paraskevi Katsiampa, Konstantinos Gkillas
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
Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Statistical inference using extreme order statistics
- Residual life time at great age
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Volatility estimation for Bitcoin: a comparison of GARCH models
- Price clustering in bitcoin
- Heavy tails and copulas: limits of diversification revisited
- Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
Cited In (8)
- Regulating stochastic clocks§
- Return and volatility spillovers among cryptocurrencies
- Transaction activity and bitcoin realized volatility
- Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates
- Risk quantification and validation for Bitcoin
- Optimal vs naïve diversification in cryptocurrencies
- Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets?
- How is price explosivity triggered in the cryptocurrency markets?
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