Blar i NTNU Open på forfatter "Lippe, Fredrik von der"
-
Sector Correlation as a U.S Recession Predictor
Lippe, Fredrik von der; Hestman, Bjørn Vegard Madsen (Master thesis, 2018)Based on a notion proposed in Dagens Næringsliv 15th of May 2017 we test if low correlations between sector returns can predict an upcoming recession. Using sector returns from the S&P 500, with weekly and monthly observations ...