Arbeitspapier
Asset co-movements: Features and challenges
This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We discuss examples that illustrate the pitfalls from drawing conclusions from local trends of asset prices. On a more constructive side, we find that the U.S. main asset classes and major international stock indices share a factor that is closely related to the business cycle. At even lower frequency, the common asset co-movement appears to be driven by demographic trends.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2017-11
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
- Thema
-
cross-asset
within-asset and international asset co-movements
rolling correlation
time-variability
persistence
higher moments
risk factors
sampling frequency
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gospodinov, Nikolaj
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, Ga.
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gospodinov, Nikolaj
- Federal Reserve Bank of Atlanta
Entstanden
- 2017
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