Počet záznamů: 1
Gold, oil, and stocks: Dynamic correlations
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SYSNO ASEP 0449082 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Gold, oil, and stocks: Dynamic correlations Tvůrce(i) Baruník, Jozef (UTIA-B) RID, ORCID
Kočenda, Evžen (UTIA-B) ORCID
Vácha, Lukáš (UTIA-B) RIDCelkový počet autorů 3 Zdroj.dok. International Review of Economics & Finance. - : Elsevier - ISSN 1059-0560
Roč. 42, č. 1 (2016), s. 186-201Poč.str. 16 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Financial markets ; Time-frequency dynamics ; High-frequency data ; Dynamic correlation ; Financial crisis ; Wavelets Vědní obor RIV AH - Ekonomie CEP GA14-24129S GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000372377100013 EID SCOPUS 84947325018 DOI 10.1016/j.iref.2015.08.006 Anotace We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a dominant feature during times of economic downturn and financial turbulence for all three pairs of the assets under research. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase and become homogenous: the timing dif- fers for the three pairs but coincides with the structural breaks that are identified in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment-horizons perspective, all three assets could be used in a well- diversified portfolio only during relatively short periods. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2017
Počet záznamů: 1