2021
DOI: 10.1108/jfep-09-2021-0242
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On extreme value theory in the presence of technical trend: pre and post Covid-19 analysis of cryptocurrency markets

Abstract: Purpose Research on price extremes and overreactions as potential violations of market efficiency has a long tradition in investment literature. Arguably, very few studies to date have addressed this issue in cryptocurrencies trading. The purpose of this paper is to consider the extreme value modelling for forecasting COVID-19 effects on cryptocoin markets. Additionally, this paper examines the importance of technical trading indicators in predicting the extreme price behaviour of cryptocurrencies. Design/me… Show more

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Cited by 6 publications
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References 85 publications
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