Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management
Rahma Chemkha,
Ahmed BenSaïda and
Ahmed Ghorbel
Journal of Multinational Financial Management, 2021, vol. 59, issue C
Abstract:
This paper examines the connectedness between cryptocurrencies and major fiat currencies in a multivariate framework using vine copulas. One of the advantages of this method is the flexibility in the choice of distributions used to model complex dependencies. The results show that the dependence, measured conditionally or unconditionally, is positive and higher for the pairs of the same market than those across markets. Moreover, a low significant dependency is found between cryptocurrencies and the main conventional currencies. Based on the Value-at-Risk (VaR) and expected shortfall (ES) analyses, vine copulas produce accurate risk measures by adding cryptocurrencies to a portfolio of fiat currencies.
Keywords: Cryptocurrency; Fiat currency; Dependence; Value at risk (search for similar items in EconPapers)
JEL-codes: F31 G11 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X20300554
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:59:y:2021:i:c:s1042444x20300554
DOI: 10.1016/j.mulfin.2020.100666
Access Statistics for this article
Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth
More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().