An application of extreme value theory to cryptocurrencies
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DOI: 10.1016/j.econlet.2018.01.020
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References listed on IDEAS
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More about this item
Keywords
Cryptocurrency; Bitcoin; Extreme value analysis; Value-at-Risk; Expected shortfall;All these keywords.
JEL classification:
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
- G01 - Financial Economics - - General - - - Financial Crises
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