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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?

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  • $\begingroup$ A very warm welcome to Quant.SE and thank you for your question. Please see my answer below. $\endgroup$ – vonjd Apr 24 '18 at 19:30
  • $\begingroup$ An interesting question, but (perhaps surprisingly) there is not much written on this. The literature makes the opposite point: that time series properties (low autocorrelation, low predictability, high kurtosis, GARCHyness, occasional presence of "jumps") are common to most asset prices. There are some differences in the shape of the options smile for different assets, and in how volatility responds to a decline in price (so called leverage effect) but that is about all the differences I know of. $\endgroup$ – Alex C Apr 24 '18 at 19:44
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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

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