Replication package: BTC–ETH tail risk dynamics and market maturation (365-day rolling windows)

This Zenodo record contains the replication materials for an empirical study on cryptocurrency market maturation and evolving tail-risk profiles in Bitcoin (BTC) and Ethereum (ETH). The package reproduces the full workflow for computing 365-day rolling tail-risk measures and dependence diagnostics under continuous 24/7/365 trading conditions. The code implements: Historical VaR and CVaR/Expected Shortfall at 1% and 5% levels, plus Maximum Drawdown (MDD), all computed in 365-day rolling windows; Trend estimation of tail-risk series using OLS with Newey–West HAC standard errors; Regime-conditional comparisons across market states (bull/bear/neutral via SMA₅₀-based classification) and volatility regimes (high/low uncertainty via median split of 30-day rolling volatility), including non-parametric tests; BTC–ETH dependence analysis using rolling correlations and exceedance correlations to quantify asymmetric comovement in the upper vs lower tails. Data: daily close prices for BTC-USD and ETH-USD sourced from Yahoo Finance; returns are computed as log-returns × 100. The repository includes the replication script and the derived dataset/outputs required to reproduce the tables and figures of the study. Resource contents (Files) analysis_365_2026.py — replication script (rolling VaR/CVaR/MDD; HAC trend tests; regime splits; exceedance correlations) FinTech Crypto 16022026 Правка … Crypto_Data_2026.xlsx — derived dataset / outputs used to generate results (rolling series and/or summary tables)