A first econometric analysis of the CRIX family

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact CRIX), EFCRIX (Exact Full CRIX) and also intraday CRIX movements may be found on the webpage of hu.berlin/crix.

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Year of publication:	2016
Authors:	Chen, Shi ; Chen, Cathy Yi-Hsuan ; Härdle, Wolfgang Karl ; Lee, TM ; Ong, Bobby
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Index construction \| CRIX \| information criteria \| model selection \| AIC \| BIC \| market analysis \| bitcoin \| cryptocurrency

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Series:	SFB 649 Discussion Paper ; 2016-031
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	867097701 [GVK] hdl:10419/148867 [Handle] RePEc:zbw:sfb649:sfb649dp2016-031 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011580429