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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00108930" target="_blank" >RIV/00216224:14560/19:00108930 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612318303611" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612318303611</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2018.09.002" target="_blank" >10.1016/j.frl.2018.09.002</a>

Result language
angličtina
Original language name
Are cryptocurrencies connected to forex? A quantile cross-spectral approach
Original language description
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.
Czech name
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Czech description
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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
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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