Chen, Shi Chen, Cathy Yi-Hsuan Härdle, Wolfgang Karl Lee, TM Ong, Bobby
Year of Publication:
SFB 649 Discussion Paper No. 2016-031
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.
Index construction CRIX information criteria model selection AIC BIC market analysis bitcoin cryptocurrency