An analysis of cryptocurrencies conditional cross correlations
Statistical Finance
2019-02-28 v2 Risk Management
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.
Cite
@article{arxiv.1811.08365,
title = {An analysis of cryptocurrencies conditional cross correlations},
author = {Nektarios Aslanidis and Aurelio F. Bariviera and Oscar Martinez-Ibañez},
journal= {arXiv preprint arXiv:1811.08365},
year = {2019}
}