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
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author Mensi, Walid
Rehman, Mobeen Ur
Shafiullah, Muhammad
Al-Yahyaee, Khamis Hamed
Sensoy, Ahmet
author_facet Mensi, Walid
Rehman, Mobeen Ur
Shafiullah, Muhammad
Al-Yahyaee, Khamis Hamed
Sensoy, Ahmet
author_sort Mensi, Walid
collection PubMed
description 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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spelling pubmed-84360252021-09-13 High frequency multiscale relationships among major cryptocurrencies: portfolio management implications Mensi, Walid Rehman, Mobeen Ur Shafiullah, Muhammad Al-Yahyaee, Khamis Hamed Sensoy, Ahmet Financ Innov Research 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. Springer Berlin Heidelberg 2021-09-13 2021 /pmc/articles/PMC8436025/ /pubmed/35024291 http://dx.doi.org/10.1186/s40854-021-00290-w Text en © The Author(s) 2021 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Research
Mensi, Walid
Rehman, Mobeen Ur
Shafiullah, Muhammad
Al-Yahyaee, Khamis Hamed
Sensoy, Ahmet
High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
title High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
title_full High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
title_fullStr High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
title_full_unstemmed High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
title_short High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
title_sort high frequency multiscale relationships among major cryptocurrencies: portfolio management implications
topic Research
url 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
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