An analysis of cryptocurrencies conditional cross correlations

被引：93
|
作者：
Aslanidis, Nektarios [1 ]
Bariviera, Aurelio F. [2 ,3 ]
Martinez-Ibanez, Oscar [1 ]
机构：
[1] Univ Rovira & Virgili, Dept Econ, CREIP, Avinguda Univ 1, Reus 43204, Spain
[2] Univ Rovira & Virgili, Dept Business, Ave Univ 1, Reus 43204, Spain
[3] Univ Pacifico, Lima, Peru
来源：
FINANCE RESEARCH LETTERS | 2019年 / 31卷
关键词：
Cryptocurrency; Correlation; GARCH; Dynamic Conditional Correlation; BITCOIN; INEFFICIENCY; VOLATILITY;
D O I：
10.1016/j.frl.2019.04.019
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页码：130 / 137
页数：8
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