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

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  • Baumohl, Eduard

Abstract

This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29 December 2017. Compared with the results obtained from standard correlations and detrended moving-average cross-correlation analysis (DMCA), the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The most interesting result is that the intra-group dependencies are positive in the lower extreme quantiles, while inter-group dependencies are negative. This result holds in both the short- and long-term perspectives. Thus, it is worth diversifying between these two currency groups.

Suggested Citation

  • Baumohl, Eduard, 2018. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," EconStor Preprints 174884, ZBW - Leibniz Information Centre for Economics.
  • Handle: RePEc:zbw:esprep:174884
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:finlet:v:29:y:2019:i:c:p:255-265 is not listed on IDEAS
    2. Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
    3. repec:gam:jjrfmx:v:12:y:2019:i:3:p:115-:d:247119 is not listed on IDEAS
    4. repec:eee:finana:v:61:y:2019:i:c:p:143-157 is not listed on IDEAS

    More about this item

    Keywords

    cryptocurrencies; fiat currencies; quantile dependence; cross-spectral analysis; diversification;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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