The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
A Statistical Analysis of Cryptocurrencies
Open accessAbstract
We analyze statistical properties of the largest cryptocurrencies (determined by market capitalization), of which Bitcoin is the most prominent example. We characterize their exchange rates versus the U.S. Dollar by fitting parametric distributions to them. It is shown that returns are clearly non-normal, however, no single distribution fits well jointly to all the cryptocurrencies analysed. We find that for the most popular currencies, such as Bitcoin and Litecoin, the generalized hyperbolic distribution gives the best fit, while for the smaller cryptocurrencies the normal inverse Gaussian distribution, generalized t distribution, and Laplace distribution give good fits. The results are important for investment and risk management purposes.
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Cites
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Breusch, T. S., & Pagan, A. R. (1979) · Econometrica · doi:10.2307/1911963 · Cited by 5,647
Bozdogan, H. (1987) · Psychometrika · doi:10.1007/bf02294361 · Cited by 4,468
Anderson, T. W., & Darling, D. A. (1954) · Journal of the American Statistical Association · doi:10.1080/01621459.1954.10501232 · Cited by 2,450
Vrieze, S. I. (2012) · Psychological Methods · doi:10.1037/a0027127 · Cited by 1,948
Anderson, D. R., Burnham, K. P., & White, G. C. (1998) · Journal of Applied Statistics · doi:10.1080/02664769823250 · Cited by 311
Metadata
- Authors
- Chan, S., Chu, J., Nadarajah, S., & Osterrieder, J.
- Venue
- Journal of Risk and Financial Management
- Publisher
- MDPI AG
- Published
- 2017-05-31
- Volume
- 10
- Issue
- 2
- Pages
- 12
- ISSN
- 1911-8066 (ISSN-L)
- 1911-8074
- OpenAlex
- W2607989873
- Cited by
- 195
- References
- 5
- FWCI
- 39.16
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Chan, S., Chu, J., Nadarajah, S., & Osterrieder, J. (2017). A Statistical Analysis of Cryptocurrencies. Journal of Risk and Financial Management. https://doi.org/10.3390/jrfm10020012
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