Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230818
Authors: 
Keilbar, Georg
Zhang, Yanfen
Year of Publication: 
2020
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2020-012
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.
Subjects: 
Cointegration
VECM
Nonstationarity
Cryptocurrencies
JEL: 
C00
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.