| bibtype |
J -
Journal Article
|
| ARLID |
0449082 |
| utime |
20240103210943.6 |
| mtime |
20151027235959.9 |
| SCOPUS |
84947325018 |
| WOS |
000372377100013 |
| DOI |
10.1016/j.iref.2015.08.006 |
| title
(primary) (eng) |
Gold, oil, and stocks: Dynamic correlations |
| specification |
| page_count |
16 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0362150 |
| ISSN |
1059-0560 |
| title
|
International Review of Economics & Finance |
| volume_id |
42 |
| volume |
1 (2016) |
| page_num |
186-201 |
| publisher |
|
|
| keyword |
Financial markets |
| keyword |
Time-frequency dynamics |
| keyword |
High-frequency data |
| keyword |
Dynamic correlation |
| keyword |
Financial crisis |
| keyword |
Wavelets |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
34 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0312139 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
33 |
| name1 |
Kočenda |
| name2 |
Evžen |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
33 |
| name1 |
Vácha |
| name2 |
Lukáš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0306873 |
| project_id |
GA14-24129S |
| agency |
GA ČR |
|
| abstract
(eng) |
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. |
| RIV |
AH |
| reportyear |
2017 |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0250753 |
| confidential |
S |
| mrcbC86 |
1* Article Business Finance|Economics |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
0.313 |
| mrcbT16-s |
0.721 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
21.34 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q2 |
| arlyear |
2016 |
| mrcbU14 |
84947325018 SCOPUS |
| mrcbU34 |
000372377100013 WOS |
| mrcbU63 |
cav_un_epca*0362150 International Review of Economics & Finance 1059-0560 1873-8036 Roč. 42 č. 1 2016 186 201 Elsevier |
|