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• W3127790696 abstract "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." @default.
• W3127790696 created "2021-02-15" @default.
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• W3127790696 date "2021-02-03" @default.
• W3127790696 modified "2023-10-05" @default.
• W3127790696 title "Jumps and Cojumps analyses of major and minor cryptocurrencies" @default.
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• W3127790696 doi "https://doi.org/10.1371/journal.pone.0245744" @default.
• W3127790696 hasPubMedCentralId "https://www.ncbi.nlm.nih.gov/pmc/articles/7857619" @default.
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