Jumps and Cojumps analyses of major and minor cryptocurrencies.

Jumps and Cojumps analyses of major and minor cryptocurrencies.

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. Furthe...

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Main Authors: Piyachart Phiromswad, Pattanaporn Chatjuthamard, Sirimon Treepongkaruna, Sabin Srivannaboon
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2021-01-01
Series:PLoS ONE
Online Access:https://doi.org/10.1371/journal.pone.0245744
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spelling doaj-dce5257da29745c99d9353165528ddf02021-07-24T04:33:02ZengPublic Library of Science (PLoS)PLoS ONE1932-62032021-01-01162e024574410.1371/journal.pone.0245744Jumps and Cojumps analyses of major and minor cryptocurrencies.Piyachart PhiromswadPattanaporn ChatjuthamardSirimon TreepongkarunaSabin SrivannaboonThis 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.https://doi.org/10.1371/journal.pone.0245744
collection DOAJ
language English
format Article
sources DOAJ
author Piyachart Phiromswad
Pattanaporn Chatjuthamard
Sirimon Treepongkaruna
Sabin Srivannaboon
spellingShingle Piyachart Phiromswad
Pattanaporn Chatjuthamard
Sirimon Treepongkaruna
Sabin Srivannaboon
Jumps and Cojumps analyses of major and minor cryptocurrencies.
PLoS ONE
author_facet Piyachart Phiromswad
Pattanaporn Chatjuthamard
Sirimon Treepongkaruna
Sabin Srivannaboon
author_sort Piyachart Phiromswad
title Jumps and Cojumps analyses of major and minor cryptocurrencies.
title_short Jumps and Cojumps analyses of major and minor cryptocurrencies.
title_full Jumps and Cojumps analyses of major and minor cryptocurrencies.
title_fullStr Jumps and Cojumps analyses of major and minor cryptocurrencies.
title_full_unstemmed Jumps and Cojumps analyses of major and minor cryptocurrencies.
title_sort jumps and cojumps analyses of major and minor cryptocurrencies.
publisher Public Library of Science (PLoS)
series PLoS ONE
issn 1932-6203
publishDate 2021-01-01
description 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.
url https://doi.org/10.1371/journal.pone.0245744
work_keys_str_mv AT piyachartphiromswad jumpsandcojumpsanalysesofmajorandminorcryptocurrencies
AT pattanapornchatjuthamard jumpsandcojumpsanalysesofmajorandminorcryptocurrencies
AT sirimontreepongkaruna jumpsandcojumpsanalysesofmajorandminorcryptocurrencies
AT sabinsrivannaboon jumpsandcojumpsanalysesofmajorandminorcryptocurrencies
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