英文标题：
《An analysis of cryptocurrencies conditional cross correlations》
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作者：
Nektarios Aslanidis, Aurelio F. Bariviera, Oscar Martinez-Iba\\~nez
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最新提交年份：
2019
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英文摘要：
  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 management point of view, asset correlation is a key metric in order to construct efficient portfolios. We find that: (i) correlations among cryptocurrencies are positive, albeit varying across time; (ii) correlations with Monero are more stable across time; (iii) correlations between cryptocurrencies and traditional financial assets are negligible.
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中文摘要：
这封信使用广义DCC类模型探讨了主要加密货币、股票和债券指数以及黄金之间的条件相关性行为。从投资组合管理的角度来看，资产相关性是构建有效投资组合的关键指标。我们发现：（i）加密货币之间的相关性为正，尽管随时间变化；（ii）与Monero的相关性在时间上更稳定；（iii）加密货币与传统金融资产之间的相关性可以忽略不计。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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