Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/181878 
Authors: 
Year of Publication: 
2018
Publisher: 
ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
This paper attempts to examine the dependence structure of four major cryptocurrencies chosen by current market capitalisation. It is a well known fact that there is huge volatility in the prices of these cryptocurrencies. The Vine Copula model is used to get some insights about the dependence structure in these asset prices. This is done using daily closing price from August 2015 to May 2018. This information can be used to calculate risk based metrics such as expected shortfall of a portfolio of these currencies. This analysis becomes more important as complex financial instruments (e.g. indices) based on these currencies are being introduced.
Subjects: 
Vine Copula
Cryptocurrencies
Expected shortfall
JEL: 
C51
C52
C58
G11
Document Type: 
Preprint

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