An analysis of cryptocurrencies conditional cross correlations

【Author】 Aslanidis, Nektarios; Bariviera, Aurelio F.; Martinez-Ibanez, Oscar

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric in order to construct efficient portfolios. We find that: (i) correlations among cryptocurrencies are positive, albeit varying across time; (ii) correlations with Monero are more stable across time; (iii) correlations between cryptocurrencies and traditional financial assets are negligible.

【Keywords】Cryptocurrency; Correlation; GARCH; Dynamic Conditional Correlation

【发表时间】2019 DEC

【收录时间】2022-01-02

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