The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk
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DOI: 10.1016/j.physa.2019.04.136
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Cited by:
- Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2020. "High frequency momentum trading with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 52(C).
- Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García-Rubio, Noelia, 2023. "Prediction and interpretation of daily NFT and DeFi prices dynamics: Inspection through ensemble machine learning & XAI," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
- Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- Massing, Till & Ramos, Arturo, 2021.
"Student’s t mixture models for stock indices. A comparative study,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Till Massing & Arturo Ramos, 2023. "Student't mixture models for stock indices. A comparative study," Papers 2308.10023, arXiv.org.
- Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2021. "Dependence between bitcoin and African currencies," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(4), pages 1203-1218, August.
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Keywords
Generalised hyperbolic; Statistics; Backtesting; Risk measures; Cryptocurrencies;All these keywords.
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