A cryptocurrency empirical study focused on evaluating their distribution functions

López-Martín, Carmen, Arguedas-Sanz, Raquel y Benito Muela, Sonia . (2022) A cryptocurrency empirical study focused on evaluating their distribution functions. International Review of Economics and Finance 79 (2022)

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Título A cryptocurrency empirical study focused on evaluating their distribution functions
Autor(es) López-Martín, Carmen
Arguedas-Sanz, Raquel
Benito Muela, Sonia
Materia(s) Economía
Abstract This paper thoroughly examines the statistical properties of cryptocurrency returns, particularly focusing on studying which is the best statistical distribution for fitting this type of data. The preliminary statistical study reveals (i) high volatility, (ii) an inverse leverage effect, (iii) skewed distributions and (iv) high kurtosis. To capture the nonnormal characteristics observed in cryptocurrency data, we verified the goodness of fit of a large set of distributions, both symmetric and skewed distributions such as skewed Student-t, skewed generalized t, skewed generalized error and the inverse hyperbolic sign distributions. The results show that the skewed distributions outperform normal and Student-t distributions in fitting cryptocurrency data, although there is no one skewed distribution that systematically better fits the data. In addition, we compare these distributions in terms of their ability to forecast the market risk of cryptocurrencies. In line with the results obtained in the statistical analysis, we find that the skewed distributions provide better risk estimates than the normal and Student-t distributions, both in short and long positions, with SGED being the distribution that provides better results.
Palabras clave cryptocurrencies
distributions
skewness
fat tail
risk management
Editor(es) Elsevier
Fecha 2022-02-14
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0002
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0002
DOI - identifier https://doi.org/10.1016/j.iref.2022.02.021
Nombre de la revista International Review of Economics and Finance
Número de Volumen 79 (2022)
Página inicial 387
Página final 407
Publicado en la Revista International Review of Economics and Finance 79 (2022)
Idioma eng
Versión de la publicación acceptedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The published version of this article, first published in International Review of Economics and Finance, is available online at the publisher's website: Elsevier, https://doi.org/10.1016/j.iref.2022.02.021
Notas adicionales La versión publicada de este artículo, publicado por primera vez en International Review of Economics and Finance, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.iref.2022.02.021

 
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Creado: Wed, 29 Nov 2023, 20:17:50 CET