Volatility Implications for Asset Returns Correlation

Broad asset classes	Selected asset class	Representative ticker(s) or index	Sample period and frequency
U.S. equities	U.S. broad equity	Index: Wilshire 5000 Total Market Index, Close; Data series: WILL5000PR – FRED	1970-12-31 to 1979-11-30 – monthly, 1979-12-03 to 2024-03-28 – daily
	U.S. Large cap (S&P 500 index)	Ticker: SPY - SPDR S&P 500 ETF Trust, Close; Data series: SPY – Yahoo Finance	1980-01-02 to 2024-05-10 – daily
	U.S. sectoral equities	Tickers: XLE, XLU, XLK, XLB, XLP, XLY, XLI, XLV, XLF - Select Sectors SPDR Funds, all Close; Data series: all – Yahoo Finance; IYR - iShares U.S. Real Estate ETF, all Close; Data series: all – Yahoo Finance Index: S&P Communication Services Select Sector Index, Close; Data series: ^SP500-50 – Yahoo Finance	XLE, XLU, XLK, XLB, XLP, XLY, XLI, XLV, XLF - 1998-12-22 to 2024-04-05 – daily; IYR - 2000-06-19 to 2024-04-05 – daily; ^SP500-50 - 1993-05-04 to 2024-04-05 – daily.
	U.S. growth equities	Ticker: IUSG - iShares Core S&P U.S. Growth ETF, Close; Data series: IUSG - Yahoo Finance	2000-07-28 to 2024-04-08 – daily
	U.S. value equities	Ticker: IUSV - iShares Core S&P U.S. Value ETF, Close; Data series: IUSV – Yahoo Finance	2000-08-04 to 2024-04-05 – daily
International equities	Developed countries’ equities ex.-U.S.	Ticker: VEA - Vanguard FTSE Developed Markets Index Fund ETF Shares, Close; Data series: VEA – Yahoo Finance	2007-07-26 to 2024-04-05 – daily
	EU equities	Ticker: EZU - iShares MSCI Eurozone ETF, Close; Data series: EZU – Yahoo Finance	2000-07-31 to 2024-04-05 – daily
	Japan equities	Ticker: EWJ - iShares MSCI Japan ETF, Close; Data Series: EWJ – Yahoo Finance	1996-03-18 to 2024-04-05 – daily
	Developing countries’ equities ex.-China	Ticker: EMXC - iShares MSCI Emerging Markets ex China ETF, Close; Data Series: EMXC – Yahoo Finance	2017-07-26 to 2024-04-05 – daily
Metals such as gold, silver, platinum and copper	Gold	Index: LBMA Gold Price PM ($/ozt); Data Series: Global Gold price - Historical Data (1979-Present) – Kaggle	1985-01-01 to 2023-10-06 - daily
	Silver	Index: LBMA Silver Price ($/ozt); Data Series: Daily Silver prices (1968 – 2022) – Kaggle	1968-01-02 to 2022-04-21 - daily
	Platinum	Index: Platinum London PM Fix ($/ozt); Data Series: Daily London Fix Prices 1990 – 2024 – Kaggle	1990-04-02 to 2023-10-09 – daily
	Copper	Index: FRED Global price of Copper ($/ton); Data Series: PCOPPUSDM – FRED	1991-01-01 to 2024-02-01 – monthly
Oil, Energy, and Agriculture commodities – exposure	Oil	Ticker: DBO - Invesco DB Oil Fund, Close; Data Series: DBO – Yahoo Finance	2007-01-05 to 2024-04-05 – daily
	Uranium	Ticker: URA - Global X Uranium ETF, Close; Data Series: URA – Yahoo Finance	2010-11-05 to 2024-04-05 – daily
	Agriculture commodities	Ticker: DBA - Invesco DB Agriculture Fund, Close; Data Series: DBA – Yahoo Finance	2007-01-05 to 2024-04-05 – daily
Alternative investment – exposure	Cryptocurrency – Bitcoin	Ticker: GBTC - Grayscale Bitcoin Trust ETF (BTC), Close; Data Series: GBTC – Yahoo Finance	2015-05-11 to 2024-04-08 – daily
Government bonds – exposure	U.S. Long-term bonds	Ticker: TLT - iShares 20+ Year Treasury Bond ETF), Close; Data Series: TLT – Yahoo Finance	2002-07-30 to 2024-04-19 – daily
	U.S. Mid-term bonds	Ticker: IEF - iShares 7–10 Year Treasury Bond ETF, Close; Data Series: IEF – Yahoo Finance	2002-07-30 to 2024-04-19 – daily
	U.S. Inflation-linked bonds	Ticker: TIP - iShares TIPS Bond ETF, Close; Data Series: TIP – Yahoo Finance	2003-12-05 to 2024-04-19 – daily
	Developing countries’ government bonds	Ticker: EMB - iShares J.P. Morgan USD Emerging Markets Bond ETF, Close; Data Series: EMB – Yahoo Finance	2007-12-19 to 2024-04-19 – daily
Corporate bonds - exposure	U.S. Corporate bonds	Ticker: VCIT - Vanguard Intermediate-Term Corporate Bond Index Fund ETF Shares, Close; Data Series: VCIT – Yahoo Finance	2009-11-23 to 2024-04-19 – daily
Corporate bonds - exposure	International corporate bonds	Ticker: CEMB - iShares J.P. Morgan EM Corporate Bond ETF, Close; Data Series: CEMB – Yahoo Finance	2012-04-19 to 2024-04-19 – daily
Mixed bonds – exposure	T-Bills, Corporate, MBS and Agency Bonds	Ticker: BND - Vanguard Total Bond Market Index Fund, Close; Data Series: BND – Yahoo Finance	2007-04-10 to 2024-04-19 – daily
Mixed bonds – exposure	Broad-based short-term investment grade	Ticker: BSV - Vanguard Short-Term Bond Index Fund ETF Shares, Close; Data Series: BSV – Yahoo Finance	2007-04-10 to 2024-04-19 – daily

Table 2.

Summary statistics of asset yearly rolling returns

	Count	Mean	Std	Min	Max
BND	4,036	0.028	0.050	−0.168	0.180
BSV	4,034	0.020	0.029	−0.077	0.135
CEMB	2,770	0.026	0.070	−0.187	0.294
DBA	4,091	0.002	0.185	−0.470	0.642
DBO	4,091	0.027	0.363	−0.646	1.374
EMB	3,859	0.046	0.102	−0.257	0.644
EMXC	1,433	0.041	0.199	−0.319	0.875
EWJ	6,809	0.036	0.204	−0.434	0.854
EZU	5,707	0.062	0.227	−0.591	0.814
GBTC	1,990	1.835	3.404	−0.891	33.085
gold	9,854	0.059	0.150	−0.292	0.709
IEF	5,218	0.033	0.066	−0.181	0.205
IUSG	5,709	0.092	0.192	−0.513	0.825
IUSV	5,703	0.090	0.167	−0.508	0.797
IYR	5,736	0.101	0.211	−0.592	1.250
PCOPPUSDM	8,373	0.081	0.312	−0.581	1.486
platinum	8,147	0.047	0.219	−0.543	0.978
silver	10,438	0.045	0.303	−0.700	1.712
SPY	10,932	0.103	0.163	−0.486	0.750
TIP	4,877	0.034	0.057	−0.134	0.206
TLT	5,218	0.045	0.130	−0.358	0.434
URA	3,122	−0.035	0.381	−0.600	1.776
VCIT	3,373	0.037	0.062	−0.182	0.211
VEA	3,951	0.049	0.191	−0.525	0.787
WILL5000PR	11,282	0.101	0.168	−0.488	0.817
XLB	6,111	0.093	0.191	−0.545	1.017
XLE	6,111	0.108	0.264	−0.595	1.166
XLF	6,111	0.073	0.235	−0.721	1.507
XLI	6,111	0.095	0.191	−0.555	0.995
XLK	6,111	0.111	0.253	−0.638	0.878
XLP	6,111	0.074	0.112	−0.299	0.452
XLU	6,111	0.081	0.153	−0.463	0.504
XLV	6,111	0.090	0.129	−0.337	0.557
XLY	6,111	0.106	0.193	−0.495	1.003
^SP500-50	7,532	0.052	0.228	−0.58	0.755

[i] Note: series named ‘gold’ are referring to returns of LBMA Gold Price PM ($/ozt), PCOPPUSDM – FRED Global price of copper ($/ton), platinum – Platinum London PM Fix ($/ozt), silver – LBMA Silver Price ($/ozt), WILL5000PR – Wilshire 5000 Total Market Index, and ^SP500-50 – S&P 500 Communication Services (Sector).

Table 3.

Rule of thumb for interpreting the size of a correlation coefficient

Size of correlation	Interpretation
.90 to 1.00 (−.90 to −1.00)	Very high positive (negative) correlation
.70 to .90 (−.70 to −.90)	High positive (negative) correlation
.50 to .70 (−.50 to −.70)	Moderate positive (negative) correlation
.30 to .50 (−.30 to −.50)	Low positive (negative) correlation
.00 to .30 (.00 to −.30)	Negligible correlation

Distribution of correlation intervals by asset return periods

Different responses to crisis of the range of holding/correlation periods of the price of silver and the broad US stock index during the period of the global financial crisis, 2007–2012

Table 4.

1-year rolling volatility implications on annual rolling asset returns correlation, sample table of regression results.

Ticker Pair	TLT-XLU	IEF-XLU	DBO-XLU	CEMB-XLY	EMB-XLY	GBTC-^SP500-50	IEF-IYR	IYR-TLT	VEA-^SP500-50
R^2	0.26	0.25	0.20	0.22	0.22	0.25	0.15	0.15	0.19
Intercept	0.81	0.79	−0.31	−0.29	−0.23	−0.10	0.69	0.66	−0.05
Slope	−0.03	−0.03	0.02	0.03	0.03	0.03	−0.03	−0.03	0.02
P-value	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Standard Error	0.001	0.001	0.001	0.001	0.001	0.001	0.001	0.001	0.001
Avg Corr VIX <= 20	0.42	0.41	0.00	0.15	0.15	0.28	0.33	0.30	0.27
Avg Corr VIX > 20	−0.19	−0.16	0.51	0.65	0.63	0.75	−0.14	−0.16	0.72
Avg Corr VIX > 30	−0.32	−0.33	0.59	0.72	0.73	0.78	−0.39	−0.38	0.84
Absolute difference at VIX > 20 and VIX <= 20	0.61	0.57	0.52	0.50	0.48	0.48	0.47	0.46	0.46
T-value	−41.56	−40.35	31.46	26.74	32.36	24.52	−29.62	−29.76	29.73
Conf Int Lower	−0.032	−0.031	0.023	0.030	0.026	0.026	−0.028	−0.028	0.023
Conf Int Upper	−0.029	−0.028	0.027	0.035	0.030	0.031	−0.025	−0.025	0.026
Shapiro-Wilk Stat	0.960	0.961	0.953	0.966	0.962	0.899	0.923	0.942	0.942
Shapiro-Wilk P-value	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
Breusch-Pagan Stat	364	189	15	41	78	36	5	39	149
Breusch-Pagan P-value	0.000	0.000	0.000	0.000	0.000	0.000	0.027	0.000	0.000
Durbin-Watson Stat	0.0158	0.0150	0.0124	0.0185	0.0146	0.0209	0.0082	0.0083	0.0112

Table 5.

Average absolute difference of average correlation during VIX>20 and VIX<20 per different periods

Asset class pair	3-month	6-month	1-year	2-year	5-year
International equities-Alternative investment	0.301	0.269	0.125	0.160	n/a
International equities-Government bonds	0.140	0.109	0.168	0.202	0.125
International equities-Mixed bonds	0.243	0.058	0.147	0.247	0.066
International equities-Corporate bonds	0.268	0.155	0.265	0.213	0.096
International equities-Metals such as gold, silver, platinum and copper	0.119	0.094	0.220	0.167	0.105
U.S. equities-International equities	0.112	0.150	0.123	0.120	0.078
U.S. equities-Oil. Energy. and Agriculture commodities	0.157	0.137	0.215	0.112	0.181
U.S. equities-Alternative investment	0.229	0.186	0.229	0.165	n/a
U.S. equities-Government bonds	0.143	0.153	0.216	0.169	0.195
U.S. equities-Mixed bonds	0.173	0.119	0.144	0.203	0.138
U.S. equities-Corporate bonds	0.203	0.198	0.218	0.169	0.075
U.S. equities-Metals such as gold, silver, platinum and copper	0.071	0.111	0.177	0.203	0.323
Oil, Energy, and Agriculture commodities - International equities	0.110	0.137	0.207	0.118	0.103
Oil, Energy, and Agriculture commodities - Alternative investment	0.257	0.35	0.224	0.374	n/a
Oil, Energy, and Agriculture commodities - Government bonds	0.149	0.086	0.123	0.123	0.110
Oil, Energy, and Agriculture commodities - Mixed bonds	0.135	0.04	0.130	0.087	0.164
Oil, Energy, and Agriculture commodities - Corporate bonds	0.167	0.059	0.129	0.193	0.168
Oil, Energy, and Agriculture commodities - Metals such as gold, silver, platinum and copper	0.129	0.146	0.122	0.164	0.057
Alternative investment - Government bonds	0.181	0.227	0.149	0.227	n/a
Alternative investment - Mixed bonds	0.042	0.272	0.062	0.353	n/a
Alternative investment - Corporate bonds	0.158	0.087	0.167	0.168	n/a
Alternative investment - Metals such as gold, silver, platinum and copper	0.183	0.180	0.234	0.174	n/a
Government bonds-Mixed bonds	0.072	0.058	0.128	0.125	0.034
Government bonds-Corporate bonds	0.084	0.066	0.113	0.119	0.043
Government bonds-Metals such as gold, silver, platinum and copper	0.095	0.116	0.16	0.093	0.261
Mixed bonds-Corporate bonds	0.084	0.051	0.072	0.154	0.030
Mixed bonds-Metals such as gold, silver, platinum and copper	0.084	0.067	0.095	0.173	0.050
Corporate bonds-Metals such as gold, silver, platinum and copper	0.170	0.085	0.106	0.090	0.187
The absolute value of the correlation difference at VIX >20 and at VIX <= 20, the average value of the difference across all asset pairs	0.139	0.132	0.173	0.160	0.160

Average correlation of the rolling annual return of individual pairs of assets with a volatility index greater than 20 and less than 20

Table 6.

The number of transition pairs with a change in the sign of correlation and the strength of correlation for each rolling period

	3-month	6-month	1 year	2 years	5 years
x=pos, y=pos	341	356	364	308	242
x=pos, y=neg	11	15	21	17	67
x=neg, y=pos	64	33	39	53	2
x=neg, y=neg	51	63	43	89	92
Share of asset pairs which do not change the sign of the correlation	16%	10%	13%	15%	17%
x<0.3; x>−0.3; y>−0.3; y<0.3 – weak correlation during both periods	238	196	126	114	140
x<0.3; x>−0.3; y<−0.3; y>0.3 – weak correlation during VIX<20, stronger correlation during VIX>20	82	90	104	75	42
x>0.3; x<−0.3; y>−0.3; y<0.3 – stronger correlation during VIX<20, weak correlation during VIX>20	12	19	31	40	56
x>0.3; x<−0.3; y<−0.3; y>0.3 – stronger correlation during both periods	135	162	206	238	165
Share of asset pairs which changed correlation both from weak to stronger and from stronger to weak	20%	23%	29%	25%	24%

Table 7.

Regression results for 1-year rolling correlation of 1-year rolling returns, asset pairs with difference >0.30 of average correlation between different volatility regimes

No.	Ticker Pair	R^2	Intcpt.	Slope	Stand. Err.	Avg Corr VIX <=20	Avg Corr VIX > 20	Avg Corr VIX > 30	Abs. difference at VIX > 20 and VIX <=20	T-val.	Conf Int Lower	Conf Int Upper	Shapiro-Wilk Stat	Breusch-Pagan Stat	Breusch-Pagan P-value	Durbin-Watson Stat
1	TLT-XLU	0.26	0.81	−0.03	0.001	0.42	−0.19	−0.32	0.61	−41.56	−0.032	−0.029	0.960	364	0.000	0.0158
2	IEF-XLU	0.25	0.79	−0.03	0.001	0.41	−0.16	−0.33	0.57	−40.35	−0.031	−0.028	0.961	189	0.000	0.0150
3	DBO-XLU	0.20	−0.31	0.02	0.001	0.00	0.51	0.59	0.52	31.46	0.023	0.027	0.953	15	0.000	0.0124
4	CEMB-XLY	0.22	−0.29	0.03	0.001	0.15	0.65	0.72	0.50	26.74	0.030	0.035	0.966	41	0.000	0.0185
5	EMB-XLY	0.22	−0.23	0.03	0.001	0.15	0.63	0.73	0.48	32.36	0.026	0.030	0.962	78	0.000	0.0146
6	GBTC-^SP500-50	0.25	−0.10	0.03	0.001	0.28	0.75	0.78	0.48	24.52	0.026	0.031	0.899	36	0.000	0.0209
7	IEF-IYR	0.15	0.69	−0.03	0.001	0.33	−0.14	−0.39	0.47	−29.62	−0.028	−0.025	0.923	5	0.027	0.0082
8	IYR-TLT	0.15	0.66	−0.03	0.001	0.30	−0.16	−0.38	0.46	−29.76	−0.028	−0.025	0.942	39	0.000	0.0083
9	VEA-^SP500-50	0.19	−0.05	0.02	0.001	0.27	0.72	0.84	0.46	29.73	0.023	0.026	0.942	149	0.000	0.0112
10	CEMB-EWJ	0.15	−0.02	0.03	0.001	0.32	0.77	0.80	0.45	21.54	0.024	0.028	0.927	2	0.201	0.0121
11	DBO-XLP	0.21	−0.21	0.02	0.001	0.10	0.55	0.65	0.45	32.37	0.023	0.026	0.961	19	0.000	0.0130
12	GBTC-URA	0.27	−0.24	0.03	0.001	0.14	0.58	0.73	0.44	25.62	0.026	0.031	0.980	46	0.000	0.0232
13	BSV-XLU	0.10	0.57	−0.02	0.001	0.43	0.00	0.04	0.43	−21.10	−0.017	−0.014	0.976	709	0.000	0.0058
14	VCIT-XLU	0.16	0.82	−0.02	0.001	0.51	0.09	0.14	0.42	−24.45	−0.025	−0.021	0.963	976	0.000	0.0129
15	PCOPPUSDM-XLV	0.23	−0.22	0.03	0.001	0.12	0.54	0.66	0.42	42.07	0.025	0.027	0.955	176	0.000	0.0136
16	GBTC-silver	0.14	−0.03	0.02	0.001	0.16	0.57	0.61	0.41	14.61	0.014	0.019	0.911	4	0.048	0.0104
17	PCOPPUSDM-WILL5000PR	0.18	−0.26	0.03	0.001	0.14	0.55	0.70	0.41	41.07	0.027	0.030	0.930	232	0.000	0.0092
18	GBTC-PCOPPUSDM	0.18	0.01	0.02	0.001	0.30	0.70	0.76	0.40	19.53	0.021	0.025	0.919	31	0.000	0.0139
19	BND-XLU	0.07	0.58	−0.01	0.001	0.50	0.10	0.22	0.40	−16.83	−0.013	−0.011	0.971	852	0.000	0.0039
20	CEMB-EZU	0.10	0.10	0.02	0.001	0.38	0.78	0.86	0.40	17.27	0.020	0.025	0.912	126	0.000	0.0079
21	GBTC-XLY	0.28	0.08	0.02	0.001	0.37	0.75	0.79	0.39	26.36	0.021	0.024	0.917	44	0.000	0.0245
22	DBA-XLV	0.20	−0.23	0.02	0.001	0.04	0.43	0.53	0.38	30.87	0.019	0.022	0.982	39	0.000	0.0119
23	CEMB-IUSG	0.16	0.05	0.02	0.001	0.36	0.74	0.77	0.38	21.92	0.021	0.025	0.899	10	0.002	0.0125
24	DBA-XLP	0.18	−0.19	0.02	0.001	0.09	0.47	0.58	0.38	29.48	0.020	0.023	0.966	14	0.000	0.0109
25	URA-^SP500-50	0.22	−0.06	0.03	0.001	0.29	0.67	0.77	0.38	28.82	0.024	0.027	0.962	8	0.004	0.0190
26	EMB-EWJ	0.10	−0.01	0.02	0.001	0.24	0.61	0.64	0.38	20.57	0.017	0.021	0.931	65	0.000	0.0061
27	BND-IYR	0.07	0.68	−0.01	0.001	0.54	0.17	0.15	0.37	−16.58	−0.016	−0.012	0.913	361	0.000	0.0037
28	BSV-IYR	0.10	0.65	−0.02	0.001	0.49	0.12	0.00	0.37	−20.49	−0.017	−0.014	0.946	479	0.000	0.0055
29	IUSG-PCOPPUSDM	0.18	−0.04	0.02	0.001	0.28	0.65	0.75	0.37	34.90	0.022	0.024	0.912	140	0.000	0.0100
30	IYR-URA	0.18	0.08	0.02	0.001	0.36	0.72	0.79	0.36	25.31	0.020	0.023	0.948	0	0.892	0.0144
31	VCIT-XLY	0.08	−0.22	0.02	0.001	0.04	0.40	0.30	0.36	16.52	0.017	0.022	0.962	0	0.521	0.0061
32	EZU-PCOPPUSDM	0.16	0.08	0.02	0.001	0.35	0.71	0.80	0.36	31.80	0.019	0.022	0.909	154	0.000	0.0084
33	DBO-IYR	0.14	−0.09	0.02	0.001	0.18	0.54	0.63	0.36	25.49	0.019	0.022	0.930	35	0.000	0.0083
34	EZU-^SP500-50	0.13	0.00	0.02	0.001	0.29	0.65	0.77	0.36	29.13	0.020	0.023	0.937	251	0.000	0.0069
35	TLT-XLE	0.12	0.04	−0.02	0.001	−0.19	−0.55	−0.65	0.36	−26.26	−0.019	−0.016	0.956	1	0.299	0.0065
36	DBA-EWJ	0.13	−0.23	0.02	0.001	0.06	0.42	0.55	0.36	24.49	0.020	0.023	0.930	110	0.000	0.0075
37	PCOPPUSDM-XLY	0.17	−0.25	0.03	0.001	0.12	0.47	0.67	0.35	35.23	0.024	0.027	0.938	33	0.000	0.0096
38	EWJ-TIP	0.09	−0.40	0.02	0.001	−0.16	0.20	0.25	0.35	21.03	0.017	0.021	0.937	67	0.000	0.0045
39	silver-XLV	0.20	−0.40	0.02	0.001	−0.10	0.26	0.41	0.35	36.31	0.021	0.023	0.967	43	0.000	0.0107
40	DBA-XLY	0.16	−0.27	0.02	0.001	0.04	0.40	0.53	0.35	27.12	0.020	0.024	0.949	47	0.000	0.0092
41	PCOPPUSDM-SPY	0.15	−0.20	0.03	0.001	0.17	0.52	0.66	0.35	37.52	0.024	0.027	0.922	168	0.000	0.0077
42	CEMB-VEA	0.11	0.22	0.02	0.001	0.47	0.82	0.86	0.35	17.80	0.017	0.022	0.888	97	0.000	0.0084
43	EWJ-URA	0.19	−0.13	0.03	0.001	0.25	0.59	0.73	0.35	26.14	0.025	0.029	0.950	4	0.047	0.0157
44	EMB-EZU	0.09	0.09	0.02	0.001	0.32	0.67	0.70	0.35	19.36	0.016	0.020	0.914	122	0.000	0.0054
45	TLT-XLP	0.12	0.35	−0.02	0.001	0.05	−0.29	−0.45	0.35	−26.44	−0.023	−0.020	0.926	9	0.003	0.0065
46	EZU-silver	0.17	−0.07	0.02	0.001	0.19	0.53	0.61	0.34	31.46	0.018	0.020	0.949	38	0.000	0.0088
47	DBA-VCIT	0.10	0.62	−0.02	0.001	0.34	0.00	−0.27	0.34	−18.95	−0.023	−0.018	0.938	57	0.000	0.0081
48	EWJ-IYR	0.17	−0.10	0.02	0.001	0.19	0.53	0.62	0.34	33.59	0.020	0.022	0.955	8	0.004	0.0091
49	silver-VEA	0.20	−0.03	0.02	0.001	0.21	0.55	0.69	0.34	28.22	0.017	0.019	0.952	146	0.000	0.0114
50	EMB-IUSG	0.13	0.06	0.02	0.001	0.31	0.65	0.70	0.34	23.00	0.017	0.020	0.908	54	0.000	0.0075
51	TIP-XLY	0.09	−0.33	0.02	0.001	−0.10	0.24	0.32	0.34	21.67	0.017	0.020	0.964	65	0.000	0.0048
52	silver-TLT	0.11	0.32	−0.02	0.001	0.06	−0.28	−0.52	0.33	−23.31	−0.021	−0.018	0.971	195	0.000	0.0055
53	IEF-XLP	0.13	0.39	−0.02	0.001	0.09	−0.24	−0.44	0.33	−26.77	−0.023	−0.020	0.948	18	0.000	0.0067
54	IUSG-silver	0.15	−0.18	0.02	0.001	0.08	0.41	0.50	0.33	29.90	0.018	0.021	0.971	2	0.169	0.0078
55	DBA-TLT	0.10	0.23	−0.02	0.001	−0.01	−0.34	−0.53	0.33	−20.89	−0.020	−0.017	0.967	0	0.784	0.0056
56	DBA-IUSG	0.17	−0.07	0.02	0.001	0.19	0.52	0.62	0.33	28.49	0.018	0.020	0.957	1	0.351	0.0102
57	TLT-XLV	0.12	0.25	−0.02	0.001	−0.04	−0.36	−0.49	0.33	−26.59	−0.022	−0.019	0.929	39	0.000	0.0067
58	URA-XLY	0.18	−0.03	0.03	0.001	0.34	0.67	0.78	0.32	25.42	0.024	0.028	0.923	22	0.000	0.0149
59	GBTC-WILL5000PR	0.23	0.18	0.02	0.001	0.43	0.75	0.80	0.32	23.25	0.018	0.021	0.890	5	0.021	0.0189
60	platinum-XLV	0.15	−0.22	0.02	0.001	0.07	0.39	0.46	0.32	32.13	0.019	0.022	0.951	272	0.000	0.0082
61	EMB-XLF	0.12	0.04	0.02	0.001	0.30	0.62	0.70	0.32	22.75	0.017	0.021	0.944	234	0.000	0.0075
62	IUSV-PCOPPUSDM	0.14	0.04	0.02	0.001	0.32	0.63	0.72	0.31	30.19	0.019	0.021	0.906	18	0.000	0.0077
63	IYR-VCIT	0.14	0.94	−0.02	0.001	0.73	0.42	0.37	0.31	−22.93	−0.018	−0.015	0.897	289	0.000	0.0114
64	GBTC-IUSV	0.17	0.06	0.02	0.001	0.34	0.65	0.71	0.31	19.18	0.019	0.023	0.862	46	0.000	0.0128
65	TLT-^SP500-50	0.09	0.40	−0.02	0.001	0.11	−0.19	−0.46	0.31	−22.15	−0.022	−0.018	0.960	14	0.000	0.0047
66	EWJ-XLU	0.13	−0.40	0.02	0.001	−0.09	0.22	0.41	0.30	29.87	0.020	0.023	0.978	192	0.000	0.0069
67	EMB-XLI	0.08	0.18	0.02	0.001	0.39	0.69	0.73	0.30	18.23	0.014	0.018	0.882	196	0.000	0.0048
68	CEMB-WILL5000PR	0.11	0.24	0.02	0.001	0.47	0.78	0.81	0.30	18.15	0.016	0.020	0.889	46	0.000	0.0087
69	EMB-VEA	0.08	0.20	0.02	0.001	0.40	0.70	0.72	0.30	18.21	0.014	0.017	0.905	79	0.000	0.0049
70	EMB-XLV	0.14	−0.05	0.02	0.001	0.21	0.51	0.67	0.30	24.53	0.017	0.020	0.962	198	0.000	0.0086
71	EZU-TIP	0.08	−0.28	0.02	0.001	−0.07	0.23	0.31	0.30	19.54	0.015	0.018	0.958	60	0.000	0.0040
72	IUSG-TIP	0.06	−0.19	0.02	0.001	0.00	0.30	0.33	0.30	17.90	0.014	0.017	0.953	97	0.000	0.0034
73	DBA-SPY	0.14	0.03	0.02	0.001	0.26	0.56	0.63	0.30	24.94	0.016	0.018	0.928	31	0.000	0.0080
74	IYR-PCOPPUSDM	0.16	−0.14	0.02	0.001	0.18	0.47	0.64	0.30	32.04	0.020	0.023	0.955	4	0.058	0.0085
75	CEMB-XLI	0.09	0.28	0.02	0.001	0.50	0.80	0.84	0.30	16.33	0.015	0.019	0.845	64	0.000	0.0071
76	URA-XLF	0.19	0.12	0.02	0.001	0.43	0.72	0.82	0.30	26.02	0.020	0.024	0.936	3	0.070	0.0156

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DOI: https://doi.org/10.2478/ceej-2024-0027 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001

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Language: English

Page range: 424 - 446

Published on: Nov 23, 2024

Published by: Faculty of Economic Sciences, University of Warsaw

In partnership with: Paradigm Publishing Services

Keywords:

JEL:

G11,

G12,

G14

Related subjects:

Business and economics,

Political economics,

Economic theory, systems and structures,

Microeconomics,

Macroeconomics,

Economic policy

© 2024 Illia Ivanov, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution 4.0 License.

Volume 11 (2024): Issue 58 (January 2024)

Volatility Implications for Asset Returns Correlation

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Figure 1.

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Figure 3.

Table 4.

Table 5.

Figure 4.

Table 6.

Table 7.

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