Author
Jeffrey Chu
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Recent research
- AI & ComputingOpen access
Tail risk of Bitcoin and major cryptocurrencies: a distributional and extreme-value analysis
Abstract We study the distributional and tail-risk properties of Bitcoin and the major cryptocurrencies using daily returns from June 2014 to May 2026. For a panel of 10 assets we fit a family of heavy-tailed distributions by maximum likelihood, rank them by the Akaike and Bayesi...