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Applied Economics Letters Volume 27, 2020 - Issue 19
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Research Article

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

Jan Jakub Szczygielskia Department of Financial Management, University of Pretoria, Hatfield, Pretoria, South Africa;b Newcastle Business School, Northumbria University, Newcastle upon Tyne, UKCorrespondence[email protected]
,
Andreas Karathanasopoulosc Dubai Business School, University of Dubai, Academic City, Dubai, UAE
&
Adam Zarembac Dubai Business School, University of Dubai, Academic City, Dubai, UAE;d Department of Investment and Capital Markets, Institute of Finance, Poznań University of Economics and Business, Poznań, Poland
Pages 1567-1573 | Published online: 03 Dec 2019

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Samuel Kwaku Agyei, Anokye Mohammed Adam, Ahmed Bossman, Oliver Asiamah, Peterson Owusu Junior, Roberta Asafo-Adjei & Emmanuel Asafo-Adjei. (2022) Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets. Cogent Economics & Finance 10:1.
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Martin Waltz, Abhay Kumar Singh & Ostap Okhrin. (2022) Vulnerability-CoVaR: investigating the crypto-market. Quantitative Finance 22:9, pages 1731-1745.
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Articles from other publishers (14)

Elie Bouri & Naji Jalkh. (2023) Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. International Review of Financial Analysis 90, pages 102915.
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Salvatore D. Tomarchio, Luca Bagnato & Antonio Punzo. (2023) Model-based clustering using a new multivariate skew distribution. Advances in Data Analysis and Classification.
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Dingxuan Zhang, Yuying Sun, Hongbo Duan, Yongmiao Hong & Shouyang Wang. (2023) Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin. International Review of Financial Analysis 88, pages 102700.
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José Almeida & Tiago Cruz Gonçalves. (2023) A systematic literature review of investor behavior in the cryptocurrency markets. Journal of Behavioral and Experimental Finance 37, pages 100785.
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Savva Shanaev, Mikhail Vasenin & Roman Stepanov. (2023) Turn-of-the-candle effect in bitcoin returns. Heliyon 9:3, pages e14236.
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Andreas Eberl & Bernhard Klar. (2023) Centre-free kurtosis orderings for asymmetric distributions. Statistical Papers.
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Bruno Ebner, Lena Eid & Bernhard Klar. (2022) Cauchy or not Cauchy? New goodness-of-fit tests for the Cauchy distribution. Statistical Papers.
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Ikaputera Waspada, Dwi Fitrizal Salim & Astrie Krisnawati. (2022) Horizon of cryptocurrency before vs during COVID-19. Investment Management and Financial Innovations 20:1, pages 14-25.
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Quang Van Tran & Jaromir Kukal. (2022) A novel heavy tail distribution of logarithmic returns of cryptocurrencies. Finance Research Letters 47, pages 102574.
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Zynobia Barson, Peterson Owusu Junior, Anokye M. Adam & Emmanuel Asafo-Adjei. (2022) Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis. Complexity 2022, pages 1-17.
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Fulvia Pennoni, Francesco Bartolucci, Gianfranco Forte & Ferdinando Ametrano. (2021) Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model. Economic Notes 51:1.
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Antonio Punzo & Luca Bagnato. (2021) Modeling the cryptocurrency return distribution via Laplace scale mixtures. Physica A: Statistical Mechanics and its Applications 563, pages 125354.
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Savva Shanaev, Mikhail Vasenin & Roman Stepanov. (2022) Turn-of-The-Candle Effect in Bitcoin Returns. SSRN Electronic Journal.
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Savva Shanaev, Mikhail Vasenin & Roman Stepanov. (2022) Turn-of-the-candle effect in Bitcoin returns. SSRN Electronic Journal.
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