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An analysis of cryptocurrencies conditional cross correlations

Nektarios Aslanidis, Aurelio Fernandez Bariviera () and Oscar Martinez-Iba\~nez

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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.

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Date: 2018-11, Revised 2019-02
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