An analysis of cryptocurrencies conditional cross correlations

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

Producción científica: Contribución a una revistaArtículo de revista revisión exhaustiva

98 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 originalInglés
Páginas (desde-hasta)130-137
Número de páginas8
PublicaciónFinance Research Letters
Volumen31
DOI
EstadoPublicada - dic. 2019

Nota bibliográfica

Publisher Copyright:
© 2019 Elsevier Inc.

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

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