A0822
Title: Conditional tail dependence between major cryptocurrencies and other major assets
Authors: Pierangelo De Pace - Pomona College (United States) [presenting]
Jayant Rao - Claremont Graduate University (United States)
Abstract: A daily dataset of four major cryptocurrency prices, four stock indices, and three commodity prices between the beginning of 2015 and the end of 2020 is used. We empirically examine the time-varying properties of the comovement between cryptocurrency price returns and the other asset price returns. We then analyze the conditional tail dependence of their price returns by adopting a time-varying conditional copula modelling approach. Our results are heterogeneous. We show that the residual correlations between cryptocurrency and other assets are generally low and close to zero. We find the tail dependence to be small along with the sample and to experience a visible increase during the first wave of the Covid-19 pandemic.
