Selected article for: "high frequency and long term"
Author: Mensi, Walid; Rehman, Mobeen Ur; Shafiullah, Muhammad; Al-Yahyaee, Khamis Hamed; Sensoy, Ahmet
Title: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
  • Cord-id: orl4bfb7
  • Document date: 2021_9_13
    • ID: orl4bfb7
    Snippet: 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 positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of
    Document: 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 positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.

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