In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's law...

In this paper we investigate the statistical properties of cryptocurrencies by using alpha-stable distributions. We also study the benefits of the Metcalfe's law (the value of a network is proportional to the square of the number of connected users of the system) for the evaluation of...

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and backtest study that available data series are not sufficient in order to estimate Value at Risk and Expected...

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size...

This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche...