Showing 1 - 4 of 4
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric in order to construct efficient portfolios. We find that:...
Persistent link: https://www.econbiz.de/10012897340
This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present...
Persistent link: https://www.econbiz.de/10012839971
Persistent link: https://www.econbiz.de/10012421231
Persistent link: https://www.econbiz.de/10015062450