An application of extreme value theory to cryptocurrencies
Konstantinos Gkillas (Gillas) () and
Economics Letters, 2018, vol. 164, issue C, 109-111
We study the tail behaviour of the returns of five major cryptocurrencies. By employing an extreme value analysis and estimating Value-at-Risk and Expected Shortfall as tail risk measures, we find that Bitcoin Cash is the riskiest, while Bitcoin and Litecoin are the least risky cryptocurrencies.
Keywords: Cryptocurrency; Bitcoin; Extreme value analysis; Value-at-Risk; Expected shortfall (search for similar items in EconPapers)
JEL-codes: C46 F38 G01 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:164:y:2018:i:c:p:109-111
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