Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic
Fuente:
arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Acceso en línea: | |
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| _version_ | 1866913862683459584 |
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| author | Karagiorgis, Ariston Ballis, Antonis Drakos, Konstantinos Kallandranis, Christos |
| author_facet | Karagiorgis, Ariston Ballis, Antonis Drakos, Konstantinos Kallandranis, Christos |
| contents | We examine how skewness interacts with kurtosis within the cryptocurrency market. We show that during the COVID-19 pandemic there are more clusters of observations around the two flanks, highlighting the presence of a volatile behavior. Moreover, we document the evolvement of the interrelationship as the pandemic progresses, identifying the domination of the extremes. Our findings advance the thinking that by exploiting the interrelationship between the two higher moments of cryptocurrencies, investors and researchers can have in their arsenal an additional analytic tool. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_12801 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic Karagiorgis, Ariston Ballis, Antonis Drakos, Konstantinos Kallandranis, Christos General Finance We examine how skewness interacts with kurtosis within the cryptocurrency market. We show that during the COVID-19 pandemic there are more clusters of observations around the two flanks, highlighting the presence of a volatile behavior. Moreover, we document the evolvement of the interrelationship as the pandemic progresses, identifying the domination of the extremes. Our findings advance the thinking that by exploiting the interrelationship between the two higher moments of cryptocurrencies, investors and researchers can have in their arsenal an additional analytic tool. |
| title | Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic |
| topic | General Finance |
| url | https://arxiv.org/abs/2410.12801 |