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@article{1471264,
author = {Baumöhl, Eduard},
article_number = {June},
doi = {http://dx.doi.org/10.1016/j.frl.2018.09.002},
keywords = {Cryptocurrencies; Forex; Quantile dependence; Cross-spectral; Diversification},
language = {eng},
issn = {1544-6123},
journal = {Finance Research Letters},
title = {Are cryptocurrencies connected to forex? A quantile cross-spectral approach},
url = {https://www.sciencedirect.com/science/article/pii/S1544612318303611},
volume = {29},
year = {2019}
}
TY - JOUR
ID - 1471264
AU - Baumöhl, Eduard
PY - 2019
TI - Are cryptocurrencies connected to forex? A quantile cross-spectral approach
JF - Finance Research Letters
VL - 29
IS - June
SP - 363-372
EP - 363-372
SN - 15446123
KW - Cryptocurrencies
KW - Forex
KW - Quantile dependence
KW - Cross-spectral
KW - Diversification
UR - https://www.sciencedirect.com/science/article/pii/S1544612318303611
L2 - https://www.sciencedirect.com/science/article/pii/S1544612318303611
N2 - This paper analyzes the connectedness between forex and cryptocurrencies using the quantile cross-spectral approach. The sample covers six forex and six cryptocurrencies over the period of September 2015–December 2017. Compared with the results obtained from standard correlations and DMCA, the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The results show that there are some significant negative dependencies between forex and cryptocurrencies from both the short- and long-term perspectives; thus, it is worth diversifying between these two asset groups. Moreover, the connection between cryptocurrencies is not as strong as is widely believed.
ER -
BAUMÖHL, Eduard. Are cryptocurrencies connected to forex? A quantile cross-spectral approach. \textit{Finance Research Letters}. 2019, roč.~29, June, s.~363-372. ISSN~1544-6123. Dostupné z: https://dx.doi.org/10.1016/j.frl.2018.09.002.
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