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Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes by Miori, Deborah; Cucuringu, Mihai is a scholarly article available to read on EtoBox.

What is Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes about?

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 leverages on this knowledge to highlight market trends or risks that can be informative with respect to recurrent market developments. The framework developed also lays the foundations for multiple possible extensions.

Author

Miori, Deborah; Cucuringu, Mihai

Published

2022

Language

EN