Cryptocurrency Market Dynamics: Copula Analysis of Return and Volume Tails

Giovanni De Luca () and Andrea Montanino
Additional contact information
Giovanni De Luca: Department of Management and Quantitative Studies, University of Naples Parthenope, Via G. Parisi 13, 80132 Naples, Italy
Andrea Montanino: Department of Economic and Legal Studies, University of Naples Parthenope, Via G. Parisi 13, 80132 Naples, Italy

Risks, 2025, vol. 13, issue 9, 1-13

Abstract: This paper investigates the dependence structure between returns and trading volumes for five major cryptocurrencies: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and its 90-degree rotation to capture asymmetric relationships, especially in the tails of the distribution. Our findings reveal significant upper and lower–upper tail dependencies, suggesting that extreme trading volumes are associated with both positive and negative return extremes. The results confirm a nonlinear and asymmetric volume–return relationship, which traditional linear models fail to capture.

Keywords: financial returns; cryptocurrencies; copula functions; rotations (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2025
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-9091/13/9/168/pdf (application/pdf)
https://www.mdpi.com/2227-9091/13/9/168/ (text/html)

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:gam:jrisks:v:13:y:2025:i:9:p:168-:d:1740257

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().