Are cryptos becoming alternative assets?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F23%3A10489894" target="_blank" >RIV/00216208:11320/23:10489894 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=oLPZD6ZDBJ" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=oLPZD6ZDBJ</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/1351847X.2021.1960403" target="_blank" >10.1080/1351847X.2021.1960403</a>
Alternative languages
Result language
angličtina
Original language name
Are cryptos becoming alternative assets?
Original language description
This research provides insights for the separation of cryptocurrencies from other assets. Using dimensionality reduction techniques, we show that most of the variation among cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes can be explained by the tail, memory and moment factors of their log-returns. By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. The main result is the complete separation of cryptocurrencies from the other asset types, using the Maximum Variance Components Split method. Additionally, we show that cryptocurrencies tend to exhibit similar characteristics over time and become more distinguished from other asset classes (synchronic evolution).
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Journal of Finance
ISSN
1351-847X
e-ISSN
1466-4364
Volume of the periodical
29
Issue of the periodical within the volume
10
Country of publishing house
GB - UNITED KINGDOM
Number of pages
42
Pages from-to
1064-1105
UT code for WoS article
000684476000001
EID of the result in the Scopus database
2-s2.0-85112324251