High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

【Author】 Mensi, Walid; Rehman, Mobeen Ur; Shafiullah, Muhammad; Al-Yahyaee, Khamis Hamed; Sensoy, Ahmet

【Source】FINANCIAL INNOVATION

【影响因子】6.793

【Abstract】This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.

【Keywords】Cryptocurrency; High frequency analysis; Nonlinear multiscale causality; Rolling window wavelet correlation

【发表时间】2021 SEP 13

【收录时间】2022-01-01

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