One shape fits all? A comprehensive examination of cryptocurrency return distributions

dc.contributor.authorSzczygielski, Jan Jakub
dc.contributor.authorKarathanasopoulos, Andreas
dc.contributor.authorZaremba, Adam
dc.date.accessioned2020-10-19T11:19:38Z
dc.date.issued2020
dc.description.abstractWe 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.en_ZA
dc.description.departmentFinancial Managementen_ZA
dc.description.embargo2021-06-03
dc.description.librarianhj2020en_ZA
dc.description.urihttp://www.tandfonline.com/loi/rael20en_ZA
dc.identifier.citationSzczygielski, 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.en_ZA
dc.identifier.issn1350-4851 (print)
dc.identifier.issn1466-4291 (online)
dc.identifier.other10.1080/13504851.2019.1697420
dc.identifier.urihttp://hdl.handle.net/2263/76540
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 27, no. 19, pp. 1567-1573, 2020. doi : 10.1080/13504851.2019.1697420. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20.en_ZA
dc.subjectCryptocurrenciesen_ZA
dc.subjectReturn distributionsen_ZA
dc.subjectBitcoinen_ZA
dc.subjectSkewnessen_ZA
dc.subjectKurtosisen_ZA
dc.titleOne shape fits all? A comprehensive examination of cryptocurrency return distributionsen_ZA
dc.typePostprint Articleen_ZA

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