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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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