Ontology highlight
ABSTRACT:
SUBMITTER: Phiromswad P
PROVIDER: S-EPMC7857619 | biostudies-literature | 2021
REPOSITORIES: biostudies-literature
Phiromswad Piyachart P Chatjuthamard Pattanaporn P Treepongkaruna Sirimon S Srivannaboon Sabin S
PloS one 20210203 2
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 crypt ...[more]