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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Bibliographic Details
Main Authors: Menelaos Karanasos, Stavroula Yfanti
Format: Default Article
Published: 2021
Online Access:https://hdl.handle.net/2134/16809952.v1
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