An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
Year of publication: |
2022
|
---|---|
Authors: | Chan, Stephen ; Chu, Jeffrey ; Zhang, Yuanyuan ; Nadarajah, Saralees |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 59.2022, p. 1-13
|
Subject: | Bitcoin | Ethereum | Extreme correlation | Extreme value theory | Peaks over threshold method | Ausreißer | Outliers | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Schätzung | Estimation | Korrelation | Correlation | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Handelsvolumen der Börse | Trading volume |
-
Longin, François M., (2016)
-
Option-implied information and predictability of extreme returns
Vilkovz, Grigory, (2013)
-
Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun, (2018)
- More ...
-
Blockchain and cryptocurrencies
Nadarajah, Saralees, (2020)
-
Blockchain and cryptocurrencies
Chan, Stephen, (2020)
-
Blockchain and cryptocurrencies
Nadarajah, Saralees, (2020)
- More ...