The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk

Yuanyuan Zhang, Jeffrey Chu, Stephen Chan and Brandon Chan

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: Ethereum was the first decentralised platform to support smart contracts. It has attracted significant publicity and captured the interests of a wide range of institutions, enthusiasts and even world leaders. We have analysed the market price index for all exchanges trading in Ethereum versus three global currencies, the Korean Won; Euro; US Dollar; Bitcoin, and the Global Price Index for Ethereum, through the fitting of the Generalised Hyperbolic distributions and its subclasses. Our results show that returns are clearly non-normal and the Generalised Hyperbolic and its subset of distributions fit well jointly for all of the indices. We also analyse the long term memory effect for the returns of Ether, compare the Value at Risk and Expected Shortfall based on historical Ether data and other financial instruments, and backtesting was also performed to test the extreme tails.

Keywords: Generalised hyperbolic; Statistics; Backtesting; Risk measures; Cryptocurrencies (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037843711930490X
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:526:y:2019:i:c:s037843711930490x

DOI: 10.1016/j.physa.2019.04.136

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().