Download This PaperA First Econometric Analysis of the CRIX Family
47 Pages Posted: 31 Aug 2016
Date Written: August 30, 2016
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.
Keywords: Index construction, CRIX, information criteria, model selection, AIC, BIC, market analysis, bitcoin, cryptocurrency
JEL Classification: C51, C52, G10
Suggested Citation: Suggested Citation
Chen, Shi and Chen, Cathy and Härdle, Wolfgang Karl and Lee, TM and Ong, Bobby, A First Econometric Analysis of the CRIX Family (August 30, 2016). Available at SSRN: https://ssrn.com/abstract=2832099 or http://dx.doi.org/10.2139/ssrn.2832099
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