5 papers
The Anatomy of Commodity Risk: Micro, Market, and Economy-Wide Sources
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +2
We study the anatomy of commodity risk by distinguishing micro, market-level, and economy-wide sources. We develop a two-stage "divide-and-conquer" framework that allows sensitivit…
Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +1
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises…
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…
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…
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…