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?