关于一篮子加密货币的回报分布及其影响

IF 1.2 Q3 ECONOMICS

Research in Economics Pub Date : 2025-01-11 DOI:10.1016/j.rie.2025.101028

Christoph J. Börner, Ingo Hoffmann, Lars M. Kürzinger, Tim Schmitz

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引用次数: 0

摘要

本研究使用一篮子27个加密货币和加密货币指数EWCI-来评估与加密货币（CC）资本配置相关的风险。我们应用基本的统计检验来模拟CC收益的主体分布。与以往的研究一致，稳定分布（SDI）模型是最适合的体分布模型。然而，由于高分位数尾部区域的特性不太好，因此采用广义Pareto分布。两种分布的组合被用来计算风险值和条件风险值，揭示了两个cc亚组中不同的风险特征。

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On the return distributions of a basket of cryptocurrencies and subsequent implications

This study evaluates the risk associated with capital allocation in cryptocurrencies (CCs) using a basket of 27 CCs and the CC index EWCI-. We apply basic statistical tests to model the body distribution of CC returns. Consistent with prior research, the stable distribution (SDI) is the most suitable model for the body distribution. However, due to less favorable properties in the tail area for high quantiles, the generalized Pareto distribution is employed. A combination of both distributions is utilized to calculate Value at Risk and Conditional Value at Risk, revealing distinct risk characteristics in two subgroups of CCs.

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来源期刊

Research in Economics ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

89 days

期刊介绍： Established in 1947, Research in Economics is one of the oldest general-interest economics journals in the world and the main one among those based in Italy. The purpose of the journal is to select original theoretical and empirical articles that will have high impact on the debate in the social sciences; since 1947, it has published important research contributions on a wide range of topics. A summary of our editorial policy is this: the editors make a preliminary assessment of whether the results of a paper, if correct, are worth publishing. If so one of the associate editors reviews the paper: from the reviewer we expect to learn if the paper is understandable and coherent and - within reasonable bounds - the results are correct. We believe that long lags in publication and multiple demands for revision simply slow scientific progress. Our goal is to provide you a definitive answer within one month of submission. We give the editors one week to judge the overall contribution and if acceptable send your paper to an associate editor. We expect the associate editor to provide a more detailed evaluation within three weeks so that the editors can make a final decision before the month expires. In the (rare) case of a revision we allow four months and in the case of conditional acceptance we allow two months to submit the final version. In both cases we expect a cover letter explaining how you met the requirements. For conditional acceptance the editors will verify that the requirements were met. In the case of revision the original associate editor will do so. If the revision cannot be at least conditionally accepted it is rejected: there is no second revision.