Asymmetric tail dependence in cryptocurrency markets: A Model-free approach

【Author】 Ahn, Yongkil

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper investigates extreme tail dependence between cryptocurrencies and the S&P 500 index using a model-free approach. It appears that any symmetric model fails to explain the correlation structure in major cryptocurrency returns. Moreover, the sample downward tail correlations between cryptocurrencies and the equity market are much greater than the upward tail ones. The disadvantages of cryptocurrencies as an asset class might be more lively because cryptocurrencies entail high asymmetric tail dependence, especially when the equity market is going down.

【Keywords】Extreme tail dependence; Cryptocurrency; Asymmetric correlation

【发表时间】2022 JUN

【收录时间】2022-08-28

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-市场分析