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An analysis of cryptocurrencies conditional cross correlations

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  • Aslanidis, Nektarios
  • Bariviera, Aurelio F.
  • Martínez-Ibañez, Oscar

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.

Suggested Citation

  • Aslanidis, Nektarios & Bariviera, Aurelio F. & Martínez-Ibañez, Oscar, 2019. "An analysis of cryptocurrencies conditional cross correlations," Finance Research Letters, Elsevier, vol. 31(C), pages 130-137.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:130-137
    DOI: 10.1016/j.frl.2019.04.019
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    More about this item

    Keywords

    Cryptocurrency; Correlation; GARCH; Dynamic Conditional Correlation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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