Asset class dynamics differences

External question — Quantitative Finance Stack Exchange Author: toyo10 Original post: https://quant.stackexchange.com/questions/39416 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. If we compare daily return dynamics of the main asset class time series (e.g. Stock indexes, bonds, precious commodities, etc) do we observe quantifiable differences? Are there some reference paper on that topic? What do I mean is that, for example, maybe gold returns might be well described by ARMA-GARCH model (of some orders) while I don’t know maybe forex not. Or maybe they have difference returns distributions (more skew, positive vs negative kourtosis, etc), they are more traded by a certain type of trader so different properties can be observed, they have different correlation with main macroeconomic variables, and so on. Therefore if I have an unknown time series is it possible (and how can it be possible) to say if it behave “like” or more similar to a particular asset class?

External answer — Quantitative Finance Stack Exchange Author: vonjd Original post: https://quant.stackexchange.com/a/39427 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. The most authoritative source for those questions is the following book: Expected Returns: An Investor's Guide to Harvesting Market Rewards by Antti Ilmanen You can find a free shortened (but still exhaustive) version here: Ilmanen, Antti, Expected Returns on Major Asset Classes (June 1, 2012). CFA Institute Research Foundation 2012 - 1. Available at SSRN: https://ssrn.com/abstract=2616228