| [0.025] |
|
|
|
|
| ||||
Lambda2 | 0.395 |
|
|
|
|
| ||||
[0.277] | ||||||||||
Correlations | BCN | OIL | SP500 | GOLD | USD | |||||
OIL | 0.065 |
|
|
|
| |||||
[0.074] |
|
|
|
| ||||||
SP500 | 0.105 | 0.215*** |
|
|
| |||||
[0.075] | [0.073] |
|
|
| ||||||
GOLD | 0.099 | 0.033 | −0.196*** |
|
| |||||
[0.073] | [0.076] | [0.072] |
|
| ||||||
USD | −0.007 | −0.108 | 0.141* | −0.559*** |
| |||||
[0.074] | [0.074] | [0.075] | [0.053] |
| ||||||
LIBOR | −0.114 | 0.001 | −0.026 | −0.117 | −0.017 | |||||
[0.09] | [0.075] | [0.075] | [0.074] | [0.074] | ||||||