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Table 2 Unconditional correlation matrix of daily realized moments

From: Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic

 

BTC

Dash

EOS

ETH

LTC

BAT

Panel A: Realized Volatility (RV)

BTC

1.000000

0.102604

0.749265

0.901921

0.827615

0.802753

Dash

0.102604

1.000000

0.187993

0.128894

0.122714

0.136312

EOS

0.749265

0.187993

1.000000

0.822094

0.699581

0.634966

ETH

0.901921

0.128894

0.822094

1.000000

0.840007

0.724390

LTC

0.827615

0.122714

0.699581

0.840007

1.000000

0.654917

BAT

0.802753

0.136312

0.634966

0.724390

0.654917

1.000000

Panel B: Realized Skewness (RS)

BTC

1.000000

0.242808

0.252156

0.773499

0.638008

0.126200

Dash

0.242808

1.000000

0.514639

0.104678

0.103753

0.235356

EOS

0.252156

0.514639

1.000000

0.118706

0.129093

0.325813

ETH

0.773499

0.104678

0.118706

1.000000

0.692752

0.083513

LTC

0.638008

0.103753

0.129093

0.692752

1.000000

0.099897

BAT

0.126200

0.235356

0.325813

0.083513

0.099897

1.000000

Panel C: Realized Kurtosis (RK)

BTC

1.000000

0.197618

0.169081

0.885853

0.747158

0.101645

Dash

0.197618

1.000000

0.624418

0.111708

0.058586

0.416170

EOS

0.169081

0.624418

1.000000

0.084971

0.059390

0.396050

ETH

0.885853

0.111708

0.084971

1.000000

0.795237

0.093410

LTC

0.747158

0.058586

0.059390

0.795237

1.000000

0.027974

BAT

0.101645

0.416170

0.396050

0.093410

0.027974

1.000000

Panel D: Signed Jump Variation (SJV)

BTC

1.000000

0.329992

0.485401

0.755450

0.610130

− 0.057630

Dash

0.329992

1.000000

0.523501

0.304977

0.439522

0.064912

EOS

0.485401

0.523501

1.000000

0.423126

0.638753

0.189787

ETH

0.755450

0.304977

0.423126

1.000000

0.662366

− 0.085262

LTC

0.610130

0.439522

0.638753

0.662366

1.000000

0.062005

BAT

− 0.057630

0.064912

0.189787

− 0.085262

0.062005

1.000000