A statistical risk assessment of bitcoin and its extreme tail behaviour

By Joerg Osterrieder, Julian Lorenz. 2017

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

Statistical Arbitrage in Cryptocurrency Markets (2019, background): “However, these observations can be attributed to the extreme price movements in cryptocurrency markets—see Osterrieder and Lorenz (2017).”
Conditional tail-risk in cryptocurrency markets (2019, background): “Catania et al. (2018) and Osterrieder and Lorenz (2017) study the predictability of the volatility of the main cryptocurrencies and the bitcoin tail behavior.”
An empirical investigation of volatility dynamics in the cryptocurrency market (2019, background): “In addition, the extreme value behaviour of cryptocurrencies has been studied by Osterrieder and Lorenz (2017), Osterrieder et al. (2017), and Gkillas and Katsiampa (2018), all of whom have shown that cryptocurrencies exhibit heavier tail behaviour and are thus riskier than fiat currencies.”
Can cryptocurrencies be a safe haven: a tail risk perspective analysis (2018, methodology): “Compared to Osterrieder and Lorenz (2017) and Osterrieder, Strika, and Lorenz (2017), our methods are robust and better deal with emerging and immature assets, such as cryptocurrencies, whose return data are not independently and identically distributed (i.i.d.); as both direct GEV or direct GPD…”
An application of extreme value theory to cryptocurrencies (2018, unknown): “In fact, cryptocurrency returns not only are more volatile and riskier than traditional currencies but also exhibit heavier tail behaviour (Osterrieder et al., 2017; Phillip et al., 2018).”