【Author】
Chuffart, Thomas
【Source】FINANCE RESEARCH LETTERS
【Abstract】Using a Smooth Transition Conditional Correlation model with Google search data as a transition variable, I investigate correlation dynamics between a set of crypto-currencies. A major change in the correlation dynamics after the 2017 bubble burst is explained by the attention subsequently surrounding cryptocurrencies. Google searches are found to be a good predictor of correlation between cryptocurrencies and could provide useful input to portfolio management.
【Keywords】Bitcoin; Cryptocurrencies; Conditional correlations; Google searches data
评论