High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

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...

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Detalles Bibliográficos
Autores principales: Mensi, Walid, Rehman, Mobeen Ur, Shafiullah, Muhammad, Al-Yahyaee, Khamis Hamed, Sensoy, Ahmet
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8436025/
https://www.ncbi.nlm.nih.gov/pubmed/35024291
http://dx.doi.org/10.1186/s40854-021-00290-w
Descripción
Sumario: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.

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