Abstract
This paper measures integration of the cryptocurrency markets using two so-called Thick Pen methods: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). They allow one to capture time-varying co-movement of different cryptocurrency prices as well as co-movement at different time scales; i.e. short-term and long-term features of the price series. A particular strength in this application is the ability to detect instabilities in price relationships. The analysis shows that there is strong co-movement between the price series under consideration. The paper also critically discusses this finding as cryptocurrencies are characterised by different monetary policies and, thus, are not identical entities.
Original language | English |
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Publication status | Published - 19 Dec 2021 |
Event | 15th International Conference Computational and Financial Econometrics - King's College, London, United Kingdom Duration: 18 Dec 2021 → 20 Dec 2021 http://www.cfenetwork.org/CFE2021/sessions.php |
Conference
Conference | 15th International Conference Computational and Financial Econometrics |
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Abbreviated title | CNF 2021 |
Country/Territory | United Kingdom |
City | London |
Period | 18/12/21 → 20/12/21 |
Internet address |