Preprint
Are cryptocurrencies connected to forex? A quantile cross-spectral approach
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.
- Language
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Englisch
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
International Financial Markets
Foreign Exchange
- Subject
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cryptocurrencies
fiat currencies
quantile dependence
cross-spectral analysis
diversification
- Event
-
Geistige Schöpfung
- (who)
-
Baumöhl, Eduard
- Event
-
Veröffentlichung
- (who)
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (where)
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Kiel und Hamburg
- (when)
-
2018
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Preprint
Associated
- Baumöhl, Eduard
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Time of origin
- 2018
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