Financial Innovation

Table 4 Correlation matrix for assets in Portfolio 2

From: Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach

	BTC	ETH	LTC	NYA	IXIC	GSPC	N100	FTSE	FCHI	DJI
BTC	1
ETH	0.769	1
LTC	0.784	0.835	1
NYA	0.144	0.178	0.176	1
IXIC	0.181	0.198	0.183	0.786	1
GSPC	0.156	0.186	0.174	0.924	0.922	1
N100	0.124	0.133	0.133	0.615	0.478	0.550	1
FTSE	0.084	0.096	0.110	0.521	0.352	0.435	0.820	1
FCHI	0.122	0.125	0.127	0.599	0.438	0.524	0.972	0.804	1
DJI	0.129	0.170	0.156	0.932	0.772	0.927	0.560	0.464	0.554	1

Back to article page