Interest in cryptocurrencies predicts conditional correlation dynamics
نویسندگان
چکیده
Using a Smooth Transition Conditional Correlation model with Google search data as transition variable, I investigate correlation dynamics between set of crypto-currencies. A major change in the after 2017 bubble burst is explained by attention subsequently surrounding cryptocurrencies. searches are found to be good predictor cryptocurrencies and could provide useful input portfolio management.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2022
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2021.102239