Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148867
Authors: 
Chen, Shi
Chen, Cathy Yi-Hsuan
Härdle, Wolfgang
Lee, TM
Ong, Bobby
Year of Publication: 
2016
Series/Report no.: 
SFB 649 Discussion Paper 2016-031
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 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.
Subjects: 
Index construction
CRIX
information criteria
model selection
AIC
BIC
market analysis
bitcoin
cryptocurrency
Document Type: 
Working Paper

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