… explores tails of relevant distributions to detect herd activity in the crypto market during …
Also, it gauges such mass behaviour in the wake of two remarkable events: the crypto asset …

… Therefore, we conclude that cryptocurrencies are not only highly correlated unconditionally,
but also in the left tail of the distribution. In other words, when the price of one of the …

… for cryptocurrency markets exhibit a symmetric behavior, which is also our finding. In this
paper, we focus on the tail index parameter α, which refers to the measure of the tail behaviors …

… The tail of the return distribution … left tail series of the market index, CRI, is highly and
strongly related to LTC and XLM (with correlation coefficients around 0.9), followed by TRX, XRP, …

… We model directional predictability across markets over the entire distribution of prices and
… characterisation of tail dependence across cryptocurrency market. Cryptocurrency market is …

… of the Bitcoin market, the intensity and synchronization of social and traditional crypto-…
We identify tail behaviour predictors employing a quantile regression approach. The results …

… tail dependence is stronger than the lower tail dependence. The upper tail dependence is
stronger for Litecoin and Ethereum … at the tails of the joint return-volume distribution. In fact, …

… On the other hand, moving towards the distribution tails at fixed threshold levels for tail
probability equal to 0.05, in Figure 4, we observe that the greatest negative difference exists …

… law in the tails of stock price fluctuation distributions. Motivated … on blockchain technology,
we study the distributions of … the heavy tail properties in empirical Bitcoin return distributions. …

… mean of the return distribution, ie, … cryptocurrency markets, especially during extreme market
conditions. Our findings can assist participants in the controversial cryptocurrency markets …