EconPapers    
Economics at your fingertips  
 

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

Eduard Baumohl ()

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29 December 2017. Compared with the results obtained from standard correlations and detrended moving-average cross-correlation analysis (DMCA), the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The most interesting result is that the intra-group dependencies are positive in the lower extreme quantiles, while inter-group dependencies are negative. This result holds in both the short- and long-term perspectives. Thus, it is worth diversifying between these two currency groups.

Keywords: cryptocurrencies; fiat currencies; quantile dependence; cross-spectral analysis; diversification (search for similar items in EconPapers)
JEL-codes: G11 G15 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pay
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/174884/1/Baumohl%20%282018%29.pdf (application/pdf)

Related works:
Journal Article: Are cryptocurrencies connected to forex? A quantile cross-spectral approach (2019) Downloads
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:zbw:esprep:174884

Access Statistics for this paper

More papers in EconStor Preprints from ZBW - Leibniz Information Centre for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2019-11-20
Handle: RePEc:zbw:esprep:174884