[1308.0210] Gold, Oil, and Stocks

[1308.0210] Gold, Oil, and Stocks:

We analyze the dynamics of the prices of gold, oil, and stocks over 26 years (1987-2012) using both intra-day and daily data and employing a variety of methodologies including a novel time-frequency approach. We account for structural breaks and show radical change in correlations between assets after the 2007-2008 crisis in terms of time-frequency behavior. No strong evidence for a specific asset leading any other one emerges and the assets under research do not share the long-term equilibrium relationship. Strong implication is that after the structural change gold, oil, and stocks cannot be used together for risk diversification.

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