Replication package: BTC–ETH tail risk dynamics and market maturation (365-day rolling windows) V2

Version 2 update (March 2026):

This version adds supplementary robustness code and results in response to peer review. The new materials (folder robustness/) include:

• robustness_analysis.py — Python script for all supplementary diagnostics
• results/ — CSV files with intermediate calculations and four figures (C1–C4)

New analyses added:

1. Structural break detection (binary segmentation, L2 cost) for all rolling risk series
2. Rolling Hill tail index estimation (365-day windows) with Newey–West trend tests
3. Rolling GARCH(1,1) persistence (α+β) analysis
4. SMA(200) regime robustness check
5. Block-bootstrap 95% confidence intervals for exceedance correlations
6. Non-overlapping annual window R² verification

These results are reported in Section 4.5 and Appendix C of the revised manuscript. See robustness/README.md for details and requirements.