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An investigation into the dependence structure of major cryptocurrencies

Kunal Saha

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: This paper attempts to examine the dependence structure of four major cryptocurrencies chosen by current market capitalisation. It is a well known fact that there is huge volatility in the prices of these cryptocurrencies. The Vine Copula model is used to get some insights about the dependence structure in these asset prices. This is done using daily closing price from August 2015 to May 2018. This information can be used to calculate risk based metrics such as expected shortfall of a portfolio of these currencies. This analysis becomes more important as complex financial instruments (e.g. indices) based on these currencies are being introduced.

Keywords: Vine Copula; Cryptocurrencies; Expected shortfall (search for similar items in EconPapers)
JEL-codes: C51 C52 C58 G11 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-pay and nep-rmg
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