Returns-driven macro regimes and characteristic lead-lag behaviour between asset classes
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market features characteristic of different windows in time and lev...
Main Authors: | , |
---|---|
Formato: | Conference item |
Idioma: | English |
Publicado em: |
Association for Computing Machinery
2022
|