Are cryptocurrencies connected to forex? A quantile cross-spectral approach

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.

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

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Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50206 Finance

Country of publisher

Netherlands

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

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

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Abstract

V originále

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.