Osterrieder, Jörg Robert; Lorenz, Julian (2017). A statistical risk assessment of Bitcoin and its extreme tail behavior Annals of Financial Economics, 12(01), p. 1750003. World Scientific Publishing Company 10.1142/S2010495217500038
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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.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
Business School > Institute for Applied Data Science & Finance Business School |
Name: |
Osterrieder, Jörg Robert 0000-0003-0189-8636 and Lorenz, Julian |
Subjects: |
H Social Sciences > HG Finance |
ISSN: |
2010-4952 |
Publisher: |
World Scientific Publishing Company |
Language: |
English |
Submitter: |
Jörg Robert Osterrieder |
Date Deposited: |
29 Aug 2022 14:09 |
Last Modified: |
30 Aug 2022 09:01 |
Publisher DOI: |
10.1142/S2010495217500038 |
Uncontrolled Keywords: |
Bitcoin, digital currencies, extreme value theory, tail events, risk management |
ARBOR DOI: |
10.24451/arbor.17400 |
URI: |
https://arbor.bfh.ch/id/eprint/17400 |
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