CITATION.cff

# Citation File Format — https://citation-file-format.github.io/
# Allows GitHub to display a "Cite this repository" button and lets
# Zenodo / OpenAIRE / OSF auto-ingest the metadata.

cff-version: 1.2.0
message: "If you use this replication package, please cite the working paper."
title: "When Volatility Masquerades as Fragility: DeFi Liquidations, Quantile Local Projections, and the Tails of Ethereum Returns"
abstract: >-
  Replication package for the working paper. The package estimates
  the response of ETH hourly returns to DeFi liquidation shocks
  across the conditional return distribution (quantile local
  projections, τ × h grid) on a 41,328-hour panel
  (2021-03-15 → 2025-11-30 UTC). Sources: Bybit perpetuals, CCData
  spot benchmarks, and a curated Dune Analytics feed of EVM-wide
  DeFi liquidations.
authors:
  - family-names: Engerran
    given-names: Paul
    orcid: "https://orcid.org/0009-0002-8371-5337"
    email: paul.engerran@gmail.com
type: software
version: "2.0.0"
date-released: "2026-07-07"
license: MIT
identifiers:
  - type: doi
    value: "10.5281/zenodo.21230381"
    description: "Concept DOI (all versions) of the archived replication package on Zenodo."
keywords:
  - quantile regression
  - local projections
  - DeFi
  - liquidations
  - leverage cycle
  - cryptocurrency
  - market fragility
  - Ethereum
repository-code: "https://github.com/Paul-Engerran/DeFi-Endogenous-Fragility"
preferred-citation:
  type: unpublished
  title: "When Volatility Masquerades as Fragility: DeFi Liquidations, Quantile Local Projections, and the Tails of Ethereum Returns"
  authors:
    - family-names: Engerran
      given-names: Paul
      orcid: "https://orcid.org/0009-0002-8371-5337"
  year: 2026
  notes: "Working paper. Replication package: defi-endogenous-fragility."