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- W3175319043 abstract "Using a Smooth Transition Conditional Correlation model with Google search data as a transition variable, I investigate correlation dynamics between a set of crypto-currencies. A major change in the correlation dynamics after the 2017 bubble burst is explained by the attention subsequently surrounding cryptocurrencies. Google searches are found to be a good predictor of correlation between cryptocurrencies and could provide useful input to portfolio management." @default.
- W3175319043 created "2021-07-05" @default.
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- W3175319043 date "2022-05-01" @default.
- W3175319043 modified "2023-10-17" @default.
- W3175319043 title "Interest in cryptocurrencies predicts conditional correlation dynamics" @default.
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- W3175319043 doi "https://doi.org/10.1016/j.frl.2021.102239" @default.
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