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The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form...
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To measure the diversification capability of Bitcoin, this study employs wavelet analysis to investigate the coherence of Bitcoin price with the equity markets of both the emerging and developed economies, considering the COVID-19 pandemic and the recent Russia-Ukraine war. The results based on...
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This study proposes a method to enhance cryptocurrency portfolio returns constructed by forecast models. We forecast returns on four liquid cryptocurrencies and determine the weights on the cryptocurrencies based upon a dynamic allocation framework. We assess the performances of the portfolios...
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