Co-Volatility Dynamics in Global Cryptocurrency and Conventional Asset Classes : A Multivariate Stochastic Factor Volatility Approach
This research examined co-volatility movement of cryptocurrencies with conventional asset class indices, including 26 global equity, commodity, real estate, currency, and bond markets. It models time-varying covariance and correlation of volatility, using a multivariate factor stochastic volatility model. The co-volatility movement of cryptocurrencies with GSCI Energy, GSCI Commodity, and Dow Jones 1 month Forward, U.S. 10-year TIPS has been found to be more than other precious metals, industrial metals, and global equity indices across regions. Except for Japan, equity indices in the US, Canada, Australia, France, Germany, India, and China have been found to have a co-volatility movement
Year of publication: |
2022
|
---|---|
Authors: | Shalini, Velappan |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Welt | World | Portfolio-Management | Portfolio selection |
Saved in:
freely available
Saved in favorites
Similar items by subject
-
Bitcoin is not the New Gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony, (2018)
-
The influence of central bank monetary policy announcements on cryptocurrency return volatility
Corbet, Shaen, (2017)
-
Tarchella, Salma, (2024)
- More ...
Similar items by person