Table 4 Performance of an optimal portfolio weights strategy
From: Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications
| Â | Mean | SD | 5% | 95% | HE (%) | p value |
|---|---|---|---|---|---|---|
BCH/BTC | 0.02 | 0.07 | 0 | 0.11 | 60 | 0 |
BCH/ETH | 0.1 | 0.15 | 0 | 0.42 | 31 | 0 |
BCH/LTC | 0.15 | 0.21 | 0 | 0.56 | 26 | 0 |
BCH/XRP | 0.29 | 0.32 | 0 | 1 | 26 | 0 |
BCH/THETA | 0.58 | 0.2 | 0.17 | 0.88 | 17 | 0 |
BCH/TEZOS | 0.44 | 0.25 | 0.05 | 0.9 | 21 | 0 |
BCH/ENJIN | 0.6 | 0.18 | 0.28 | 0.9 | 0 | 0.97 |
BTC/BCH | 0.98 | 0.07 | 0.89 | 1 | 0 | 0.98 |
BTC/ETH | 0.89 | 0.21 | 0.36 | 1 | − 2 | 0.67 |
BTC/LTC | 0.93 | 0.16 | 0.6 | 1 | 0 | 0.99 |
BTC/XRP | 0.84 | 0.22 | 0.35 | 1 | 0 | 0.99 |
BTC/THETA | 0.91 | 0.13 | 0.64 | 1 | 0 | 0.93 |
BTC/TEZOS | 0.87 | 0.15 | 0.58 | 1 | − 1 | 0.83 |
BTC/ENJIN | 0.91 | 0.12 | 0.67 | 1 | − 1 | 0.8 |
ETH/BCH | 0.9 | 0.15 | 0.58 | 1 | 0 | 0.97 |
ETH/BTC | 0.11 | 0.21 | 0 | 0.64 | 40 | 0 |
ETH/LTC | 0.66 | 0.28 | 0.03 | 1 | 5 | 0.37 |
ETH/XRP | 0.56 | 0.3 | 0.05 | 1 | 10 | 0.04 |
ETH/THETA | 0.79 | 0.16 | 0.45 | 1 | 1 | 0.79 |
ETH/TEZOS | 0.7 | 0.22 | 0.3 | 1 | 6 | 0.26 |
ETH/ENJIN | 0.81 | 0.15 | 0.55 | 1 | − 11 | 0.04 |
LTC/BCH | 0.85 | 0.21 | 0.44 | 1 | 3 | 0.57 |
LTC/BTC | 0.07 | 0.16 | 0 | 0.4 | 47 | 0 |
LTC/ETH | 0.34 | 0.28 | 0 | 0.97 | 14 | 0 |
LTC/XRP | 0.47 | 0.32 | 0 | 1 | 12 | 0.02 |
LTC/THETA | 0.73 | 0.17 | 0.41 | 0.97 | 3 | 0.51 |
LTC/TEZOS | 0.62 | 0.23 | 0.23 | 1 | 9 | 0.09 |
LTC/ENJIN | 0.74 | 0.16 | 0.46 | 0.98 | − 7 | 0.2 |
XRP/BCH | 0.71 | 0.32 | 0 | 1 | 24 | 0 |
XRP/BTC | 0.16 | 0.22 | 0 | 0.65 | 59 | 0 |
XRP/ETH | 0.44 | 0.3 | 0 | 0.95 | 38 | 0 |
XRP/LTC | 0.53 | 0.32 | 0 | 1 | 32 | 0 |
XRP/THETA | 0.69 | 0.25 | 0.14 | 0.97 | 25 | 0 |
XRP/TEZOS | 0.6 | 0.29 | 0 | 1 | 30 | 0 |
XRP/ENJIN | 0.71 | 0.24 | 0.15 | 0.98 | 14 | 0 |
THETA/BCH | 0.42 | 0.2 | 0.12 | 0.83 | 40 | 0 |
THETA/BTC | 0.09 | 0.13 | 0 | 0.36 | 71 | 0 |
THETA/ETH | 0.21 | 0.16 | 0 | 0.55 | 51 | 0 |
THETA/LTC | 0.27 | 0.17 | 0.03 | 0.59 | 47 | 0 |
THETA/XRP | 0.31 | 0.25 | 0.03 | 0.86 | 47 | 0 |
THETA/TEZOS | 0.39 | 0.23 | 0.09 | 0.83 | 39 | 0 |
THETA/ENJIN | 0.53 | 0.18 | 0.24 | 0.89 | 16 | 0 |
TEZOS/BCH | 0.56 | 0.25 | 0.1 | 0.95 | 30 | 0 |
TEZOS/BTC | 0.13 | 0.15 | 0 | 0.42 | 64 | 0 |
TEZOS/ETH | 0.3 | 0.22 | 0 | 0.7 | 43 | 0 |
TEZOS/LTC | 0.38 | 0.23 | 0 | 0.77 | 38 | 0 |
TEZOS/XRP | 0.4 | 0.29 | 0 | 1 | 39 | 0 |
TEZOS/THETA | 0.61 | 0.23 | 0.17 | 0.91 | 25 | 0 |
TEZOS/ENJIN | 0.63 | 0.21 | 0.22 | 0.93 | 18 | 0 |
ENJIN/BCH | 0.4 | 0.18 | 0.1 | 0.72 | 47 | 0 |
ENJIN/BTC | 0.09 | 0.12 | 0 | 0.33 | 78 | 0 |
ENJIN/ETH | 0.19 | 0.15 | 0 | 0.45 | 60 | 0 |
ENJIN/LTC | 0.26 | 0.16 | 0.02 | 0.54 | 57 | 0 |
ENJIN/XRP | 0.29 | 0.24 | 0.02 | 0.85 | 55 | 0 |
ENJIN/THETA | 0.47 | 0.18 | 0.11 | 0.76 | 39 | 0 |
ENJIN/TEZOS | 0.37 | 0.21 | 0.07 | 0.78 | 51 | 0 |