A First Econometric Analysis of the CRIX Family

@article{Chen2016AFE,
  title={A First Econometric Analysis of the CRIX Family},
  author={S. Chen and C. Chen and W. H{\"a}rdle and Teik Ming Lee and Bobby Ong},
  journal={Econometrics: Econometric & Statistical Methods - Special Topics eJournal},
  year={2016}
}
  • S. Chen, C. Chen, +2 authors Bobby Ong
  • Published 2016
  • Economics
  • Econometrics: Econometric & Statistical Methods - Special Topics eJournal
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 di erent 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. 
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