identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation. Further, Wavelet Local … Multiple Correlation for the given crypto-currency prices are estimated across different time-scales. From the results, it is … found that that the correlation follows an aperiodic cyclical nature, and the crypto-currency prices are driven by Bitcoin …

-varying correlation parameter in the covariance matrix of the transition equation’s error terms. We treat the latter parameter as a state … employs cubic splines for the auxiliary model, and a bootstrap filter method to estimate the time-varying correlation together …

regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …