We find that the Digital Assets Bitcoin and Ethereum show variable correlation of return coefficients with traditional assets, but these increased sharply with risk-on assets, like equities, after the ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Our results indicate inflation is a strong driver of the higher correlation in asset returns, even if the relationship is non-linear, with the non-linearity evident when inflation moves above Fed ...