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dc.contributor.authorOsterrieder, Jörg-
dc.contributor.authorLorenz, Julian-
dc.date.accessioned2019-03-08T14:31:40Z-
dc.date.available2019-03-08T14:31:40Z-
dc.date.issued2017-
dc.identifier.issn2010-4952de_CH
dc.identifier.issn2010-4960de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/15945-
dc.description.abstractWe 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.isoende_CH
dc.publisherWorld Scientific Publishingde_CH
dc.relation.ispartofAnnals of Financial Economicsde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectRiskde_CH
dc.subjectExtremede_CH
dc.subjectCurrenciesde_CH
dc.subjectBitcoinde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleA statistical risk assessment of bitcoin and its extreme tail behaviourde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.1142/S2010495217500038de_CH
zhaw.funding.euNode_CH
zhaw.issue1de_CH
zhaw.originated.zhawYesde_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume12de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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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.


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