Dynamic asymmetric dependence and portfolio management in cryptocurrency markets

【Author】 Li, Danyang; Shi, Yukun; Xu, Liao; Xu, Yahua; Zhao, Yang

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】As a new form of digital assets based on blockchain technology, the cryptocurrency has received increasing attention from researchers and practitioners. However, less attention has been paid to their joint dynamics from the perspective of portfolio management. This paper investigates the dependence dynamics across four major cryptocurrencies and their economic importance in portfolio management using the data from January 2014 to June 2020. Our empirical analysis shows that significant economic gains can be obtained from modelling dynamic asymmetric dependence among cryptocurrencies. We show that our results are robust to the period of the recent market fluctuations caused by COVID-19.

【Keywords】Cryptocurrency; Dependence structure; Portfolio management; COVID-19; Cryptocurrency; Dependence structure; Portfolio management; COVID-19

【发表时间】2022 AUG

【收录时间】2022-06-04

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币