英文标题：
《Gold, Oil, and Stocks》
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作者：
Jozef Barunik and Evzen Kocenda and Lukas Vacha
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最新提交年份：
2014
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英文摘要：
  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 differs 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.
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中文摘要：
我们采用小波方法，对1987年至2012年期间关键交易资产（黄金、石油和股票）对之间的动态相关性进行时频分析。分析是在日内和每日数据上进行的。我们表明，在经济衰退和金融动荡时期，研究中的三对资产在多个投资周期内的相关性异质性是主要特征。黄金和股票之间的相关性存在异质性。2008年危机后，所有三种资产之间的相关性都增加并变得同质：三对资产的时间不同，但与特定相关性动力学中确定的结构断裂相吻合。由此产生了一个强烈的影响：在研究期间，从不同的投资视野来看，这三种资产只能在相对较短的时间内用于多元化程度较高的投资组合。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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