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negatives in however way they can; but to better understand its correlation with respect to commodities, we take a look at two … commodities, Gold and Energy product (Crude) and assess the correlation that exist between these two commodities …
Persistent link: https://www.econbiz.de/10012916649
Bitcoin is regularly referred to as new gold, digital gold or gold 2.0. If Bitcoin is indeed gold-like the correlation … of Bitcoin and gold returns should be positive. We estimate the correlation of the two assets across time, across … different return frequencies and across quantiles and find a near-zero correlation inconsistent with the claimed similarity. We …
Persistent link: https://www.econbiz.de/10013218574
correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. … with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We …
Persistent link: https://www.econbiz.de/10012150298
By applying the Diagonal BEKK and Asymmetric Diagonal BEKK methodologies tointraday data for eight cryptocurrencies, this research paper explores not only theconditional volatility dynamics of major cryptocurrencies but also their combinedvolatility movement
Persistent link: https://www.econbiz.de/10013307306
. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European … are dependent during crisis periods, but not during non-crisis periods. This confirms the time-varying correlation between …
Persistent link: https://www.econbiz.de/10014445351
, specifically under the normal market condition. In particular, for short-term horizons, Bitcoin shows favorably low correlation …
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Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first … cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year … Correlation (DCC) model. In particular, we introduced the Double Asymmetric GARCH–MIDAS model in the DCC framework. …
Persistent link: https://www.econbiz.de/10012594128