Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily … data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …