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

Yongkil Ahn

Finance Research Letters, 2022, vol. 47, issue PB

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 (search for similar items in EconPapers)
JEL-codes: C58 G12 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000666

DOI: 10.1016/j.frl.2022.102746

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