An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
Stephen Chan, Jeffrey Chu, Yuanyuan Zhang, Saralees Nadarajah
| Year of publication: |
2022
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|---|---|
| Authors: | Chan, Stephen ; Chu, Jeffrey ; Zhang, Yuanyuan ; Nadarajah, Saralees |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 59.2022, p. 1-13
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| Subject: | Bitcoin | Ethereum | Extreme correlation | Extreme value theory | Peaks over threshold method | Ausreißer | Outliers | Virtuelle Währung | Virtual currency | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Korrelation | Correlation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2021.101541 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013402146