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dc.contributor.authorFilipovic, Filip
dc.contributor.authorNilgard, Joakim
dc.descriptionMaster's thesis Business Administration BE501 - University of Agder 2018nb_NO
dc.description.abstractBitcoin is a phenomenon that is new and there is little information on how and why it behaves as volatile as it does. This thesis uses existing data on Bitcoin’s exchange rate to estimate a model that describes the pattern and use it in a financial risk analysis. We also aim to contribute as a foundation for further studies in this field. The statistical properties of the log-return of the exchange rate are analysed and it is deemed to be iid. From the eleven distributional candidates we study is the fitted skew generalised t distribution proven to represent the data best after evaluation by criteria and statistics. The estimated VaR and ES show that the rate is volatile and that the risk from investments is still high. The findings show that it is necessary to describe the exchange rate with complex and flexible distributions, and even if the data shows more stability today than earlier is it important to show caution in interpretations and evaluations on the topic. Keywords: Bitcoin, cryptocurrencies, statistical distributions, statistical analysis, exchange rate, modellingnb_NO
dc.publisherUniversitetet i Agder ; University of Agdernb_NO
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.subjectstatistical distributionsnb_NO
dc.subjectstatistical analysisnb_NO
dc.subjectexchange ratenb_NO
dc.titleStatistical Modelling and Risk Analysis of Bitcoins Exchange Ratenb_NO
dc.typeMaster thesisnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210nb_NO
dc.source.pagenumber70 p.nb_NO

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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal