descriptionPublicationkeyboard_double_arrow_right Article , Research 01 Jan 2016Embargo end date: 16 Jun 2017 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Lee, TM; Ong, Bobby;

doi: 10.2139/ssrn.2832099 , 10.18452/4640

handle: 10419/148867

A First Econometric Analysis of the CRIX Family

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Abstract

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different liquidity rules and various model selection criteria. Details of ECRIX (Exact CRIX), EFCRIX (Exact Full CRIX) and also intraday CRIX movements may be found on the webpage of hu.berlin/crix.

Related Organizations

Humboldt-Universität zu Berlin
Germany
Humboldt-Universität zu Berlin
Xiamen University
China (People's Republic of)
Charles University
Czech Republic
National Chiao Tung University
Taiwan

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Keywords

model selection, ddc:330, 330 Wirtschaft, ddc:310, bitcoin, market analysis, 310 Sammlungen allgemeiner Statistiken, cryptocurrency, Index construction, CRIX, AIC, BIC, information criteria

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