An analysis of cryptocurrencies conditional cross correlations

Nektarios Aslanidis, Aurelio Fernandez Bariviera and Oscar Martínez-Ibañez

Finance Research Letters, 2019, vol. 31, issue C, 130-137

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 (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (62)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:130-137

DOI: 10.1016/j.frl.2019.04.019

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