An analysis of cryptocurrencies conditional cross correlations

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

Papers from arXiv.org

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.

Date: 2018-11, Revised 2019-02
New Economics Papers: this item is included in nep-pay and nep-rmg
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Citations: View citations in EconPapers (76)

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Journal Article: An analysis of cryptocurrencies conditional cross correlations (2019)
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