Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach
The paper analyzes extreme frequency connectedness among cryptocurrencies using a quantile time-frequency approach, revealing MCP portfolio strategy superiority.
What it examines
Using a quantile time-frequency approach, this study examines extreme frequency connectedness among major cryptocurrencies. It explores determinants of market behavior and evaluates portfolio optimization strategies, including MCP, to improve risk management. The research aims to offer new insights into portfolio analysis and strategies for mitigating market risks in cryptocurrency markets.
What it concludes
Results confirm the superior performance of the MCP portfolio strategy in managing cryptocurrency risk. The quantile time-frequency approach effectively identifies market determinants and extreme connectedness. Recommendations include applying these findings to wider asset classes and evolving digital currencies, promising enhanced risk management protocols and improved portfolio optimization in future analyses.
Evidence objects
A novel quantile time-frequency approach uncovers frequency connectedness among major cryptocurrencies, revealing unexpected portfolio dynamics and improved risk management as the Multi-Crypto Portfolio strategy outperforms traditional methods in volatile markets.
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Employing dynamic quantile analysis, the approach captures extreme events across time and quantiles, significantly reducing risk while revealing latent market connectivity that conventional average measures overlook, enhancing cryptocurrency portfolio resilience.
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Data-driven analyses reveal surprising trends as market shocks exhibit stronger interconnectedness at shorter frequencies, prompting innovative risk management and portfolio optimization strategies while limited case studies underscore necessary further research.
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The paper employs a quantile time-frequency approach to examine extreme frequency connectedness among cryptocurrencies, integrating risk management and portfolio analysis relevant to DeFi and quantitative finance. Although it extends established methodologies rather than introducing a radically new framework, its application unveils critical crypto dynamics, rendering the study interesting and impactful.
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Raw abstract and provenance
- … portfolio (MCP) strategy outperforms other techniques, highlighting its superiority in terms of optimizing portfolio … frameworks and risk management techniques to reduce …
Source row: 778 · abstract type: snippet