Abstract
An investigation into the dependence structure of major cryptocurrencies
by
Kunal Saha
This paper attempts to examine the dependence structure of four major cryptocurrencies chosen by current market capitalisation (Bitcoin, Ethereum, Ripple and Litecoin). 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 prices from August 2015 to July 2018. This information can be used to calculate risk based metrics such as Conditional Value-at-Risk 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.
Committee
Workshop
Key Dates
Communication
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