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On the economic fundamentals behind the dynamic equicorrelations among asset classes: Global evidence from equities, real estate, and commodities
We reveal the macroeconomic determinants of the dynamic correlations between three global asset markets: equities, real estate, and commodities. Conditional equicorrelations, computed by the GJR-GARCH-DECO model, are explained by the macro-financial proxies of economic policy and financial uncertain...
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Main Authors: | , |
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Format: | Default Article |
Published: |
2021
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Subjects: | |
Online Access: | https://hdl.handle.net/2134/16809952.v1 |
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