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...
| Egile Nagusiak: | , |
|---|---|
| Formatua: | Conference item |
| Hizkuntza: | English |
| Argitaratua: |
Association for Computing Machinery
2022
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