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https://doi.org/10.21256/zhaw-5509| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Bitcoin and cryptocurrencies - not for the faint-hearted |
| Autor/-in: | Osterrieder, Jörg Strika, Martin Lorenz, Julian |
| DOI: | 10.21256/zhaw-5509 10.5296/ifb.v4i1.10451 |
| Erschienen in: | International Finance and Banking |
| Band(Heft): | 4 |
| Heft: | 1 |
| Seite(n): | 56 |
| Seiten bis: | 94 |
| Erscheinungsdatum: | 2017 |
| Verlag / Hrsg. Institution: | Macrothink Institute |
| ISSN: | 2374-2089 |
| Sprache: | Englisch |
| Schlagwörter: | Risk; Bitcoin; Cryptocurrency; Currency |
| Fachgebiet (DDC): | 332: Finanzwirtschaft |
| Zusammenfassung: | 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 particular focus is on the tail risk characteristics and we will provide an in-depth univariate and multivariate extreme value analysis. The tail dependence of cryptocurrencies is investigated (using both empirical and Gaussian copulas). For investors – especially institutional ones – as well as regulators, an understanding of the risk and tail characteristics are of utmost importance. For cryptocurrencies to become a mainstream investable asset class, studying these properties is necessary. Our findings show that cryptocurrencies exhibit strong non-normal characteristics, large tail dependencies, depending on the particular cryptocurrencies and heavy tails. Statistical similarities can be observed for cryptocurrencies that share the same underlying technology. This has implications for risk management, financial engineering (such as derivatives on cryptocurrencies) - 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 cryptocurrencies, their correlations and tail dependencies as well as their statistical properties. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/16218 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 3.0: Namensnennung 3.0 Unported |
| Departement: | School of Engineering |
| Organisationseinheit: | Institut für Datenanalyse und Prozessdesign (IDP) |
| Enthalten in den Sammlungen: | Publikationen School of Engineering |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2017_Osterrieder_Bitcoin_and_cryptocurrencies.pdf | 1.96 MB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Osterrieder, J., Strika, M., & Lorenz, J. (2017). Bitcoin and cryptocurrencies - not for the faint-hearted. International Finance and Banking, 4(1), 56–94. https://doi.org/10.21256/zhaw-5509
Osterrieder, J., Strika, M. and Lorenz, J. (2017) ‘Bitcoin and cryptocurrencies - not for the faint-hearted’, International Finance and Banking, 4(1), pp. 56–94. Available at: https://doi.org/10.21256/zhaw-5509.
J. Osterrieder, M. Strika, and J. Lorenz, “Bitcoin and cryptocurrencies - not for the faint-hearted,” International Finance and Banking, vol. 4, no. 1, pp. 56–94, 2017, doi: 10.21256/zhaw-5509.
OSTERRIEDER, Jörg, Martin STRIKA und Julian LORENZ, 2017. Bitcoin and cryptocurrencies - not for the faint-hearted. International Finance and Banking. 2017. Bd. 4, Nr. 1, S. 56–94. DOI 10.21256/zhaw-5509
Osterrieder, Jörg, Martin Strika, and Julian Lorenz. 2017. “Bitcoin and Cryptocurrencies - Not for the Faint-Hearted.” International Finance and Banking 4 (1): 56–94. https://doi.org/10.21256/zhaw-5509.
Osterrieder, Jörg, et al. “Bitcoin and Cryptocurrencies - Not for the Faint-Hearted.” International Finance and Banking, vol. 4, no. 1, 2017, pp. 56–94, https://doi.org/10.21256/zhaw-5509.
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