Modelling Extreme Tail Risk of Bitcoin Returns Using the Generalised Pareto Distribution
<p id="p1">This paper analyses the extreme tail behaviour of Bitcoin returns by fitting a Generalised Pareto Distribution (GPD). The GPD is used to model the extreme daily Bitcoin returns over the period 2008 to 2023. The returns above the chosen thresholds, for both Bitcoin gains and losses, are se...
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| Autores principales: | , |
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| Formato: | Capítulo de libro |
| Lenguaje: | inglés |
| Publicado: |
IntechOpen
2024
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| Materias: | |
| Acceso en línea: | https://www.intechopen.com/chapters/1173468 |
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