Yu, Mengxia; Xu, Ke; Zheng, Xinwei - 2023
In this paper, we construct mimicking crypto portfolios with 12 clean cryptocurrencies to replace the dirty cryptocurrencies, Bitcoin and Ethereum, based on the daily data for the period from 10/01/2019 to 12/31/2021. Furthermore, relying on the bivariate dynamic conditional correlation (DCC-)...