Multivariate Analysis of Cryptocurrencies

Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since first cryptocurrency appeared 2009 aftermath Great Recession, popularity digital currencies has, year by year, risen continuously. As February 2021, there are more than 8525 with a market value approximately USD 1676 billion. These particular assets can be used to diversify portfolio as well for speculative actions. For this reason, investigating daily volatility and co-volatility is crucial investors managers. In work, interdependencies among panel most traded explored evaluated from statistical economic points view. Taking advantage monthly Google queries (which appear factors driving price dynamics) on cryptocurrencies, we adopted mixed-frequency approach within Dynamic Conditional Correlation (DCC) model. particular, introduced Double Asymmetric GARCH–MIDAS model DCC framework.