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Title: Nonlinear autoregressive distributed lag approach: an application on the connectedness between Bitcoin returns and the other ten most relevant cryptocurrencies returns
Authors: González, MDLO
Jareño, F
Skinner, F
Keywords: Bitcoin;Cryptocurrencies;NARDL;Connectedness
Issue Date: 2020
Publisher: MDPI
Citation: Mathematics
Abstract: This article examines the connectedness between Bitcoin returns and returns of ten additional cryptocurrencies for several frequencies: daily, weekly and monthly, over the period January 2015 – March 2020 using a NARDL (nonlinear autoregressive distributed lag) approach. We find important and positive interdependencies among cryptocurrencies and significant long-run relations among most of them. In addition, non-bitcoin cryptocurrency returns seem to react in the same way to positive and negative changes in Bitcoin returns, obtaining strong evidence of asymmetry in the short-run. Finally, our results show high persistence in the impact of both positive and negative changes in Bitcoin returns on most of the other cryptocurrencies returns. Thus, our model explains about 50% of the other cryptocurrencies returns with changes in Bitcoin returns.
ISSN: 2227-7390
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