3 papers
q-fin.ST2021
The link between Bitcoin and Google Trends attention
Nektarios Aslanidis, Aurelio F. Bariviera, Óscar G. López
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a…
q-fin.ST2020
Are cryptocurrencies becoming more interconnected?
Nektarios Aslanidis, Aurelio F. Bariviera, Alejandro Perez-Laborda
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volati…
q-fin.ST2018
An analysis of cryptocurrencies conditional cross correlations
Nektarios Aslanidis, Aurelio F. Bariviera, Oscar Martinez-Ibañez
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio m…