Cross-asset relations, correlations and economic implications
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DOI: 10.1016/j.gfj.2019.02.003
Abstract: Abstract This paper examines the interrelations and time-varying correlations for eight assets. One-year rolling correlations reveal that each of the 28 correlations exhibit both positive and negative values. Linear regressions reveal that given macroeconomic and… read more here.
Keywords: asset relations; correlations economic; cross asset; economic implications ... See more keywords