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Data from: What's left after the hype? an empirical approach comparing the distributional properties of traditional and virtual currency exchange rates

Citation

Hempfing, Alexander (2019), Data from: What's left after the hype? an empirical approach comparing the distributional properties of traditional and virtual currency exchange rates, Dryad, Dataset, https://doi.org/10.5061/dryad.r2n4mj1

Abstract

This paper provides an empirical analysis of the distributional properties and statistical regularities of virtual, intra-virtual and traditional currency exchange rates. To perform the analysis, the most relevant virtual, intra-virtual and foreign currency exchange rates between October 2015 and December 2018 are examined. The analysis shows that, in spite of their differing mode of formation, daily log-returns of all currency types share tent-shaped empirical densities, one of the characteristics of a Laplace distribution at semi-log scale. This peculiar property has also been examined thoroughly in other fields of economic literature. Moreover, the empirical results show that virtual and traditional currencies hold the same functional form, even after the 2018 hype. However, in spite of these similarities virtual and intra-virtual currencies display fatter tails and steeper towering peaks than regular foreign currencies which underscores the rather speculative nature of this asset class.

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