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Table 4 Estimates for non-linear Granger causality at decomposed levels

From: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

Direction

MODWT level

D1

D2

D3

D4

D5

D6

D7

D8

BTC-ETH

15.181 (0.0000)

14.912 (0.0000)

19.798 (0.0000)

18.555 (0.0000)

13.525 (0.0000)

8.464 (0.0000)

7.260 (0.0000)

6.737 (0.0000)

ETH-BTC

16.992 (0.0000)

17.106 (0.0000)

21.198 (0.0000)

21.401 (0.0000)

16.181 (0.0000)

12.480 (0.0000)

10.756 (0.0000)

9.947 (0.0000)

BTC-LTC

18.199 (0.0000)

19.202 (0.0000)

23.273 (0.0000)

21.368 (0.0000)

14.241 (0.0000)

10.366 (0.0000)

8.515 (0.0000)

6.737 (0.0000)

LTC-BTC

19.511 (0.0000)

19.673 (0.0000)

22.123 (0.0000)

21.983 (0.0000)

17.462 (0.0000)

12.569 (0.0000)

12.523 (0.0000)

9.947 (0.0000)

BTC-DASH

21.474 (0.0000)

26.311 (0.0000)

25.656 (0.0000)

25.123 (0.0000)

17.783 (0.0000)

12.154 (0.0000)

9.556 (0.0000)

8.122 (0.0000)

DASH-BTC

20.131 (0.0000)

21.550 (0.0000)

20.157 (0.0000)

19.941 (0.0000)

16.106 (0.0000)

12.430 (0.0000)

10.485 (0.0000)

10.881 (0.0000)

BTC-RIPPLE

17.322 (0.0000)

18.120 (0.0000)

22.683 (0.0000)

21.229 (0.0000)

15.791 (0.0000)

11.148 (0.0000)

7.750 (0.0000)

8.616 (0.0000)

RIPPLE-BTC

17.868 (0.0000)

17.346 (0.0000)

17.623 (0.0000)

17.757 (0.0000)

16.074 (0.0000)

11.521 (0.0000)

11.380 (0.0000)

10.274 (0.0000)

BTC-MONERO

19.900 (0.0000)

27.997 (0.0000)

22.323 (0.0000)

21.654 (0.0000)

15.977 (0.0000)

11.206 (0.0000)

6.089 (0.0000)

8.074 (0.0000)

MONERO-BTC

20.034 (0.0000)

23.647 (0.0000)

20.899 (0.0000)

20.228 (0.0000)

15.346 (0.0000)

11.773 (0.0000)

13.057 (0.0000)

9.945 (0.0000)

ETH-LTC

20.622 (0.0000)

21.164 (0.0000)

24.751 (0.0000)

23.147 (0.0000)

16.791 (0.0000)

13.197 (0.0000)

10.629 (0.0000)

9.197 (0.0000)

LTC-ETH

19.379 (0.0000)

19.295 (0.0000)

21.919 (0.0000)

21.371 (0.0000)

15.793 (0.0000)

10.737 (0.0000)

10.635 (0.0000)

11.139 (0.0000)

ETH-DASH

18.046 (0.0000)

20.052 (0.0000)

23.368 (0.0000)

24.149 (0.0000)

18.389 (0.0000)

13.318 (0.0000)

11.645 (0.0000)

8.078 (0.0000)

DASH-ETH

17.273 (0.0000)

15.384 (0.0000)

17.179 (0.0000)

17.357 (0.0000)

13.211 (0.0000)

9.683 (0.0000)

8.403 (0.0000)

10.259 (0.0000)

ETH-RIPPLE

0.883 (0.1886)

23.647 (0.0000)

28.572 (0.0000)

24.716 (0.0000)

18.870 (0.0000)

13.987 (0.0000)

11.139 (0.0000)

11.390 (0.0000)

RIPPLE-ETH

0.883 (0.1886)

17.064 (0.0000)

18.066 (0.0000)

17.106 (0.0000)

14.736 (0.0000)

10.198 (0.0000)

9.783 (0.0000)

7.895 (0.0000)

ETH-MONERO

18.393 (0.0000)

18.684 (0.0000)

21.988 (0.0000)

21.699 (0.0000)

17.109 (0.0000)

11.754 (0.0000)

11.139 (0.0000)

6.236 (0.0000)

MONERO-ETH

17.563 (0.0000)

16.998 (0.0000)

19.655 (0.0000)

19.086 (0.0000)

13.431 (0.0000)

10.907 (0.0000)

9.783 (0.0000)

10.716 (0.0000)

LTC-DASH

20.454 (0.0000)

21.231 (0.0000)

23.638 (0.0000)

24.133 (0.0000)

18.811 (0.0000)

13.386 (0.0000)

11.891 (0.0000)

9.844 (0.0000)

DASH-LTC

19.138 (0.0000)

17.071 (0.0000)

19.334 (0.0000)

19.023 (0.0000)

13.242 (0.0000)

10.446 (0.0000)

8.905 (0.0000)

9.655 (0.0000)

LTC-RIPPLE

22.893 (0.0000)

20.023 (0.0000)

25.736 (0.0000)

22.774 (0.0000)

18.249 (0.0000)

12.621 (0.0000)

10.686 (0.0000)

8.558 (0.0000)

RIPPLE-LC

21.249 (0.0000)

19.974 (0.0000)

19.941 (0.0000)

19.788 (0.0000)

15.190 (0.0000)

11.282 (0.0000)

9.275 (0.0000)

8.181 (0.0000)

LTC-MONERO

20.759 (0.0000)

0.472 (0.0000)

22.838 (0.0000)

22.550 (0.0000)

17.938 (0.0000)

12.355 (0.0000)

8.701 (0.0000)

8.794 (0.0000)

MONERO-LTC

20.643 (0.0000)

0.472 (0.3186)

22.093 (0.0000)

20.783 (0.0000)

14.666 (0.0000)

11.374 (0.0000)

11.438 (0.0000)

9.821 (0.0000)

DASH-RIPPLE

17.735 (0.0000)

16.209 (0.0000)

18.569 (0.0000)

17.040 (0.0000)

13.824 (0.0000)

10.070 (0.0000)

10.059 (0.0000)

9.062 (0.0000)

RIPPLE-DASH

19.948 (0.0000)

19.754 (0.0000)

21.035 (0.0000)

21.429 (0.0000)

17.438 (0.0000)

13.046 (0.0000)

9.961 (0.0000)

9.056 (0.0000)

DASH-MONERO

19.877 (0.0000)

0.472 (0.3186)

20.245 (0.0000)

20.154 (0.0000)

15.236 (0.0000)

10.487 (0.0000)

7.521 (0.0000)

8.252 (0.0000)

MONERO-DASH

20.795 (0.0000)

0.472 (0.3186)

23.077 (0.0000)

23.035 (0.0000)

17.801 (0.0000)

12.883 (0.0000)

12.531 (0.0000)

10.754 (0.0000)

RIPPLE-MONERO

20.059 (0.0000)

19.586 (0.0000)

20.034 (0.0000)

19.658 (0.0000)

16.479 (0.0000)

11.202 (0.0000)

7.521 (0.0000)

7.387 (0.0000)

MONERO-RIPPLE

22.658 (0.0000)

22.320 (0.0000)

23.282 (0.0000)

20.831 (0.0000)

15.440 (0.0000)

11.335 (0.0000)

12.531 (0.0000)

9.994 (0.0000)

  1. This table presents coefficients for non-linear Granger causality test for different decomposition levels ranging from D1 to D8. We highlight significance level as p values in parenthesis