One shape fits all? A comprehensive examination of cryptocurrency return distributions
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Date
Authors
Szczygielski, Jan Jakub
Karathanasopoulos, Andreas
Zaremba, Adam
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
Abstract
We perform the most comprehensive test of cryptocurrency return distributions to date. We fit 58 hypothetical distributions to 15 major cryptocurrencies to establish which of these best describes cryptocurrency returns. The answer is: ‘It depends.’ A sharp-peaked Cauchy distribution is the most likely distribution for the majority of return series. Specific distributions are definitively identified for only a handful of cryptocurrencies. The best fitting distributions are peaked and thick-tailed, with some possessing variable shape parameters. Our findings have implications for financial modelling and its applications, such as risk measurement and risk management.
Description
Keywords
Cryptocurrencies, Return distributions, Bitcoin, Skewness, Kurtosis
Sustainable Development Goals
Citation
Szczygielski, J.J., Karathanasopoulos, A. & Zaremba, A. 2020, 'One shape fits all? A comprehensive examination of cryptocurrency return distributions', Applied Economics Letters, vol. 27, no. 19, pp. 1567-1573.