Work

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

Year: 2021

Type: article

Abstract: This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.

Source: Financial Innovation

DOI: 10.1186/s40854-021-00290-w

Authors: Walid Mensi, Mobeen Ur Rehman, Muhammad Shafiullah, Khamis Hamed Al-Yahyaee, Ahmet Sensoy

Institutions: Sultan Qaboos University, Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology, University of Nottingham, University of Nottingham Malaysia Campus, Bilkent University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Türkiye Bilimler Akademisi

OpenAlex ID: W3201050701

FWCI: 4.768

Cites: 64

Cited by: 29

Related to: 10