Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
Date
2021-10-29
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Financial Innovation
Print ISSN
Electronic ISSN
2199-4730
Publisher
SpringerOpen
Volume
7
Issue
1
Pages
1 - 21
Language
English
Type
Journal Title
Journal ISSN
Volume Title
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Abstract
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.