An analysis of cryptocurrencies conditional cross correlations

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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: (i)correlations among cryptocurrencies are positive, albeit varying across time; (ii)correlations with Monero are more stable across time; (iii)correlations between cryptocurrencies and traditional financial assets are negligible.




Aslanidis, N., Bariviera, A. F., & Martínez-Ibañez, O. (2019). An analysis of cryptocurrencies conditional cross correlations. Finance Research Letters, 31, 130–137.

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