This letter explores the behavior of conditional correlations among main cryptocurrencies,  using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric in order to construct efficient portfolios. We found thatcorrelations including Monero are more stable in timethan other correlation pairs .
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric in order to construct efficient portfolios. We find that: (i) correlations among cryptocurrencies are positive, albeit varying across time; (ii) correlations with Monero are more stable across time; (iii) correlations between cryptocurrencies and traditional financial assets are negligible .
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stock and bond indices, and gold,
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found thatcorrelations including
find that: (i) correlations among cryptocurrencies are positive, albeit varying across time; (ii) correlations with
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in timethan other correlation pairs
across time; (iii) correlations between cryptocurrencies and traditional financial assets are negligible