Are cryptos becoming alternative assets?

【Author】 Pele, Daniel Traian; Wesselhoefft, Niels; Haerdle, Wolfgang Karl; Kolossiatis, Michalis; Yatracos, Yannis G.

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】This research provides insights for the separation of cryptocurrencies from other assets. Using dimensionality reduction techniques, we show that most of the variation among cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes can be explained by the tail, memory and moment factors of their log-returns. By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. The main result is the complete separation of cryptocurrencies from the other asset types, using the Maximum Variance Components Split method. Additionally, we show that cryptocurrencies tend to exhibit similar characteristics over time and become more distinguished from other asset classes (synchronic evolution).

【Keywords】Cryptocurrency; classification; multivariate analysis; factor model; variance components split methods; synchronic evolution

【发表时间】2021

【收录时间】2022-01-02

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