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

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BAUMÖHL Eduard

Rok publikování 2019
Druh Článek v odborném periodiku
Časopis / Zdroj Finance Research Letters
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.sciencedirect.com/science/article/pii/S1544612318303611
Doi http://dx.doi.org/10.1016/j.frl.2018.09.002
Klíčová slova Cryptocurrencies; Forex; Quantile dependence; Cross-spectral; Diversification
Popis This paper analyzes the connectedness between forex and cryptocurrencies using the quantile cross-spectral approach. The sample covers six forex and six cryptocurrencies over the period of September 2015–December 2017. Compared with the results obtained from standard correlations and DMCA, the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The results show that there are some significant negative dependencies between forex and cryptocurrencies from both the short- and long-term perspectives; thus, it is worth diversifying between these two asset groups. Moreover, the connection between cryptocurrencies is not as strong as is widely believed.

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