An analysis of cryptocurrencies conditional cross correlations

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

doi:10.1016/j.frl.2019.04.019

An analysis of cryptocurrencies conditional cross correlations

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

Universidad del Pacífico

Producción científica: Contribución a una revista › Artículo de revista › revisión exhaustiva

103 Citas (Scopus)

Resumen

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.

Idioma original	Inglés
Páginas (desde-hasta)	130-137
Número de páginas	8
Publicación	Finance Research Letters
Volumen	31
DOI	https://doi.org/10.1016/j.frl.2019.04.019
Estado	Publicada - dic. 2019

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© 2019 Elsevier Inc.

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

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title = "An analysis of cryptocurrencies conditional cross correlations",

abstract = "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.",

keywords = "Correlation, Cryptocurrency, Dynamic Conditional Correlation, GARCH",

author = "Nektarios Aslanidis and Bariviera, {Aurelio F.} and Oscar Mart{\'i}nez-Iba{\~n}ez",

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AU - Bariviera, Aurelio F.

AU - Martínez-Ibañez, Oscar

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

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SN - 1544-6123

VL - 31

SP - 130

EP - 137

JO - Finance Research Letters

JF - Finance Research Letters

ER -

An analysis of cryptocurrencies conditional cross correlations

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