Journal
ECONOMICS LETTERS
Volume 164, Issue -, Pages 109-111Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2018.01.020
Keywords
Cryptocurrency; Bitcoin; Extreme value analysis; Value-at-Risk; Expected shortfall
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Funding
- General Secretariat for Research and Technology (GSRT)
- Hellenic Foundation for Research and Innovation (HFRI)
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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. (C) 2018 Elsevier B.V. All rights reserved.
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