Aleš Kozubík

University of Žilina – Faculty of Management Science and Informatics – Department of the Mathematical Methods and Operations Research, Univerzitná 8215/1, 010 26 Žilina, Slovak Republic


2nd International Scientific Conference on Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture – ITEMA 2018 – Graz, Austria, November 8, 2018, CONFERENCE PROCEEDINGS published by the Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-13-4


A cryptocurrencies are considered as digital assets that use strong cryptography to secure financial transactions, control the creation of additional units, and verify the transfer of assets. Bitcoin was released as the first and the most popular cryptocurrency in 2009. Since its release, over 4000 alternative cryptocurrencies have been released. After a period of gradual growth of the Bitcoin value, we were able to observe a dramatically increasing in its value at the beginning of this year. This was followed by a subsequent rapid decline to the value it keeps to this day. A similar development we can, however, observe with other cryptocurrencies. This paper presents the results of an empirical analysis of the nature of the factors that explain changes in yields of the ten most traded cryptocurrencies. Consistent with the analysis of the current currencies yield curves, the principal component method has shown that two or three factors are sufficient to explain most of the yield variation. These results are essential for hedging purposes.

Key words
cryptocurrency, risk factors, yield volatility, principal components
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