Before revision: We analyze the dynamics of the prices of gold, oil, and stocks over 26 years (1987-2012) using both intra-day and daily data and employing a variety of methodologies including a novel time-frequency approach. We account for structural breaks and show radical change in correlations between assets after the 2007-2008 crisis in terms of time-frequency behavior. No strong evidence for a specific asset leading any other one emerges and the assets under research do not share the long-term equilibrium relationship.
After revision: We analyze the dynamics of the prices of gold, oil, and stocks over 26 years (1987-2012) using both intra-day and daily data . We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a dominant feature during times of economic downturn and financial turbulence for all three pairs of the assets under research do not share the long-term equilibrium relationship.