An analysis of cryptocurrencies conditional cross correlations

Nektarios Aslanidis, Aurelio F. Bariviera, Oscar Martínez-Ibañez

Research output: Contribution to journalArticle in a journalpeer-review

36 Scopus citations


This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric in order to construct efficient portfolios. We find that: (i)correlations among cryptocurrencies are positive, albeit varying across time; (ii)correlations with Monero are more stable across time; (iii)correlations between cryptocurrencies and traditional financial assets are negligible.

Original languageEnglish
Pages (from-to)130-137
Number of pages8
JournalFinance Research Letters
StatePublished - Dec 2019

Bibliographical note

Publisher Copyright:
© 2019 Elsevier Inc.

Copyright 2019 Elsevier B.V., All rights reserved.


  • Correlation
  • Cryptocurrency
  • Dynamic Conditional Correlation


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