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 wavel...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.展开更多
文摘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.
