Study 6: Dollar Regimes and Macro ETFs
How does the direction & volatility of UUP relate to future moves in other assets?
This study explores whether particular regimes in UUP (an ETF that tracks Dollar Index futures) have a statistically significant impact on the future behavior of other liquid assets. It also examines cross-asset relationships, such as the difference in future volatility of investment grade bonds and junk bonds.
To answer this question, we need to focus …