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- W3201617308 abstract "This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium relations. A simple statistical arbitrage trading strategy is proposed showing a great in-sample performance." @default.
- W3201617308 created "2021-09-27" @default.
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- W3201617308 date "2020-01-01" @default.
- W3201617308 modified "2023-09-27" @default.
- W3201617308 title "On Cointegration and Cryptocurrency Dynamics" @default.
- W3201617308 hasPublicationYear "2020" @default.
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