Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Osterrieder, Jörg | - |
dc.contributor.author | Lorenz, Julian | - |
dc.date.accessioned | 2019-03-08T14:31:40Z | - |
dc.date.available | 2019-03-08T14:31:40Z | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 2010-4952 | de_CH |
dc.identifier.issn | 2010-4960 | de_CH |
dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/15945 | - |
dc.description.abstract | We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US dollar. For investors - especially institutional ones - an understanding of 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 than traditional G10 currencies, but also stronger non-normal characteristics and heavier tails. This has implications for risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator's point of view. To our knowledge, this is the first detailed study looking at the extreme value behaviour of the cryptocurrency Bitcoin. | de_CH |
dc.language.iso | en | de_CH |
dc.publisher | World Scientific Publishing | de_CH |
dc.relation.ispartof | Annals of Financial Economics | de_CH |
dc.rights | Licence according to publishing contract | de_CH |
dc.subject | Risk | de_CH |
dc.subject | Extreme | de_CH |
dc.subject | Currencies | de_CH |
dc.subject | Bitcoin | de_CH |
dc.subject.ddc | 332.6: Investition | de_CH |
dc.title | A statistical risk assessment of bitcoin and its extreme tail behaviour | de_CH |
dc.type | Beitrag in wissenschaftlicher Zeitschrift | de_CH |
dcterms.type | Text | de_CH |
zhaw.departement | School of Engineering | de_CH |
zhaw.organisationalunit | Institut für Datenanalyse und Prozessdesign (IDP) | de_CH |
dc.identifier.doi | 10.1142/S2010495217500038 | de_CH |
zhaw.funding.eu | No | de_CH |
zhaw.issue | 1 | de_CH |
zhaw.originated.zhaw | Yes | de_CH |
zhaw.publication.status | publishedVersion | de_CH |
zhaw.volume | 12 | de_CH |
zhaw.publication.review | Peer review (Publikation) | de_CH |
Appears in collections: | Publikationen School of Engineering |
Files in This Item:
There are no files associated with this item.
Show simple item record
Osterrieder, J., & Lorenz, J. (2017). A statistical risk assessment of bitcoin and its extreme tail behaviour. Annals of Financial Economics, 12(1). https://doi.org/10.1142/S2010495217500038
Osterrieder, J. and Lorenz, J. (2017) ‘A statistical risk assessment of bitcoin and its extreme tail behaviour’, Annals of Financial Economics, 12(1). Available at: https://doi.org/10.1142/S2010495217500038.
J. Osterrieder and J. Lorenz, “A statistical risk assessment of bitcoin and its extreme tail behaviour,” Annals of Financial Economics, vol. 12, no. 1, 2017, doi: 10.1142/S2010495217500038.
OSTERRIEDER, Jörg und Julian LORENZ, 2017. A statistical risk assessment of bitcoin and its extreme tail behaviour. Annals of Financial Economics. 2017. Bd. 12, Nr. 1. DOI 10.1142/S2010495217500038
Osterrieder, Jörg, and Julian Lorenz. 2017. “A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour.” Annals of Financial Economics 12 (1). https://doi.org/10.1142/S2010495217500038.
Osterrieder, Jörg, and Julian Lorenz. “A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour.” Annals of Financial Economics, vol. 12, no. 1, 2017, https://doi.org/10.1142/S2010495217500038.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.