Volatility co-movement between Bitcoin and Ether

By Paraskevi Katsiampa. Finance Research Letters, 2019

187 citations recorded by the source corpus.

Using a bivariate Diagonal BEKK model, this paper investigates the volatility dynamics of the two major cryptocurrencies, namely Bitcoin and Ether. We find evidence of interdependencies in the cryptocurrency market, while it is shown that the two cryptocurrencies' conditional volatility and correlation are responsive to major news. In addition, we show that Ether can be an effective hedge against Bitcoin, while the analysis of optimal portfolio weights indicates that Bitcoin should outweigh Ether. Understanding volatility movements and interdependencies in cryptocurrency markets is important for appropriate investment management, and our study can thus assist cryptocurrency users in making more informed decisions.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/9ed6d8769278533c29548bd904ed60b9db84ada8

Citations in the corpus

• An empirical investigation of volatility dynamics in the cryptocurrency market (2019, unknown): “To the best of the author's knowledge, only Fry and Cheah (2016), Ciaian et al. (2018), Corbet et al. (2018b), and Katsiampa (2018) have examined interdependencies of cryptocurrencies.”
• Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019, unknown): “Nevertheless, some articles have focused on the multivariate cryptocurrency context, such as Jiang and Liang (2017), Liu (2019), Katsiampa (2019a), Katsiampa (2019b), Koutmos (2018), Borri (2019), Brauneis andMestel (2019) and Chaim and Laurini (2019).”