| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | A statistical risk assessment of bitcoin and its extreme tail behaviour |
| Authors: | Osterrieder, Jörg Lorenz, Julian |
| DOI: | 10.1142/S2010495217500038 |
| Published in: | Annals of Financial Economics |
| Volume(Issue): | 12 |
| Issue: | 1 |
| Issue Date: | 2017 |
| Publisher / Ed. Institution: | World Scientific Publishing |
| ISSN: | 2010-4952 2010-4960 |
| Language: | English |
| Subjects: | Risk; Extreme; Currencies; Bitcoin |
| Subject (DDC): | 332.6: Investment |
| Abstract: | 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/15945 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Engineering |
| Organisational Unit: | Institute of Data Analysis and Process Design (IDP) |
| Appears in collections: | Publikationen School of Engineering |
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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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