Jumps and Cojumps analyses of major and minor cryptocurrencies.

Autor:	Piyachart Phiromswad, Pattanaporn Chatjuthamard, Sirimon Treepongkaruna, Sabin Srivannaboon
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	Medicine Science
Zdroj:	PLoS ONE, Vol 16, Iss 2, p e0245744 (2021)
Druh dokumentu:	article
ISSN:	1932-6203
DOI:	10.1371/journal.pone.0245744
Popis:	This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.
Databáze:	Directory of Open Access Journals
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