TY - JOUR
T1 - An analysis of cryptocurrencies conditional cross correlations
AU - Aslanidis, Nektarios
AU - Bariviera, Aurelio F.
AU - Martínez-Ibañez, Oscar
N1 - Publisher Copyright:
© 2019 Elsevier Inc.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/12
Y1 - 2019/12
N2 - 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.
AB - 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.
KW - Correlation
KW - Cryptocurrency
KW - Dynamic Conditional Correlation
KW - GARCH
UR - http://www.scopus.com/inward/record.url?scp=85065225265&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/a650537e-4edf-34b8-8f5a-fe84857099ea/
U2 - 10.1016/j.frl.2019.04.019
DO - 10.1016/j.frl.2019.04.019
M3 - Artículo de revista
AN - SCOPUS:85065225265
SN - 1544-6123
VL - 31
SP - 130
EP - 137
JO - Finance Research Letters
JF - Finance Research Letters
ER -
