Are cryptocurrencies connected to forex? A quantile cross-spectral approach

Eduard Baumohl

Finance Research Letters, 2019, vol. 29, issue C, 363-372

Abstract: This paper analyzes the connectedness between forex and cryptocurrencies using the quantile cross-spectral approach. The sample covers six forex and six cryptocurrencies over the period of September 2015–December 2017. Compared with the results obtained from standard correlations and DMCA, the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The results show that there are some significant negative dependencies between forex and cryptocurrencies from both the short- and long-term perspectives; thus, it is worth diversifying between these two asset groups. Moreover, the connection between cryptocurrencies is not as strong as is widely believed.

Keywords: Cryptocurrencies; Forex; Quantile dependence; Cross-spectral; Diversification (search for similar items in EconPapers)
JEL-codes: F31 G11 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (60)

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Working Paper: Are cryptocurrencies connected to forex? A quantile cross-spectral approach (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:363-372

DOI: 10.1016/j.frl.2018.09.002

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