With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This … paper provides the first GARCH modeling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each …

We show the statistical properties of the most important cryptocurrencies, of which Bitcoin is the most prominent …

Cryptocurrencies became popular with the emergence of Bitcoin and have shown an unprecedented growth over the last few … years. As of November 2016, more than 720 cryptocurrencies exist, with Bitcoin still being the most popular one. We provide … both a statistical analysis as well as an extreme value analysis of the returns of the most important cryptocurrencies. A …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … these properties is necessary. Our findings show that the bitcoin return distribution not only exhibits higher volatility …

A five cent $0.05 investment in Bitcoin on July 17, 2010, the first date in which there appears to have been a … published value had grown to $7,383.39 on July 18, 2018. While Bitcoin as a currency has existed for less than a decade ̶ it had … a very limited liquidity and usage during the first few years. During calendar year 2017 alone, Bitcoin increased in …