BAUMÖHL, Eduard. Are cryptocurrencies connected to forex? A quantile cross-spectral approach. Finance Research Letters. 2019, vol. 29, June, p. 363-372. ISSN 1544-6123. Available from: https://dx.doi.org/10.1016/j.frl.2018.09.002.
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Basic information
Original name Are cryptocurrencies connected to forex? A quantile cross-spectral approach
Authors BAUMÖHL, Eduard (703 Slovakia, guarantor, belonging to the institution).
Edition Finance Research Letters, 2019, 1544-6123.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50206 Finance
Country of publisher Netherlands
Confidentiality degree is not subject to a state or trade secret
WWW URL
Impact factor Impact factor: 3.527
RIV identification code RIV/00216224:14560/19:00108930
Organization unit Faculty of Economics and Administration
Doi http://dx.doi.org/10.1016/j.frl.2018.09.002
UT WoS 000473248800051
Keywords in English Cryptocurrencies; Forex; Quantile dependence; Cross-spectral; Diversification
Tags International impact, Reviewed
Changed by Changed by: Mgr. Pavlína Kurková, učo 368752. Changed: 23/11/2023 10:34.
Abstract
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.
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