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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