Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage21en_US
dc.citation.issueNumber1en_US
dc.citation.spage1en_US
dc.citation.volumeNumber7en_US
dc.contributor.authorMensi, Walid
dc.contributor.authorRehman, Mobeen Ur
dc.contributor.authorShafiullah, Muhammad
dc.contributor.authorAl-Yahyaee, Khamis Hamed
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2022-03-01T11:58:07Z
dc.date.available2022-02-11T11:46:01Z
dc.date.available2022-03-01T11:58:07Z
dc.date.issued2021-10-29
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.en_US
dc.description.provenanceSubmitted by Esma Aytürk (esma.babayigit@bilkent.edu.tr) on 2022-03-01T11:58:07Z No. of bitstreams: 3 High_frequency_multiscale_relationships_among_major_cryptocurrencies_portfolio_management_implications.pdf.txt: 65271 bytes, checksum: 2d06ece5b1c489e085b81a0e5f21db2f (MD5) High_frequency_multiscale_relationships_among_major_cryptocurrencies_portfolio_management_implications.pdf.jpg: 3768 bytes, checksum: af8ac2d017031523d09b897b0ea3bb75 (MD5) Correction_to_High_frequency_multiscale_relationships_among_major_cryptocurrencies_portfolio_management_implications.pdf: 528295 bytes, checksum: 89af541d75d6c8d3ffccd462074b71ba (MD5)en
dc.description.provenanceMade available in DSpace on 2022-03-01T11:58:07Z (GMT). No. of bitstreams: 3 High_frequency_multiscale_relationships_among_major_cryptocurrencies_portfolio_management_implications.pdf.txt: 65271 bytes, checksum: 2d06ece5b1c489e085b81a0e5f21db2f (MD5) High_frequency_multiscale_relationships_among_major_cryptocurrencies_portfolio_management_implications.pdf.jpg: 3768 bytes, checksum: af8ac2d017031523d09b897b0ea3bb75 (MD5) Correction_to_High_frequency_multiscale_relationships_among_major_cryptocurrencies_portfolio_management_implications.pdf: 528295 bytes, checksum: 89af541d75d6c8d3ffccd462074b71ba (MD5) Previous issue date: 2021-12en
dc.identifier.doi10.1186/s40854-021-00290-wen_US
dc.identifier.eissn2199-4730
dc.identifier.urihttp://hdl.handle.net/11693/77289.2
dc.language.isoEnglishen_US
dc.publisherSpringerOpenen_US
dc.relation.isversionofhttps://doi.org/10.1186/s40854-021-00290-wen_US
dc.source.titleFinancial Innovationen_US
dc.subjectCryptocurrencyen_US
dc.subjectHigh frequency analysisen_US
dc.subjectNonlinear multiscale causalityen_US
dc.subjectRolling window wavelet correlationen_US
dc.titleCorrection to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implicationsen_US
dc.typeErratumen_US

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