Researches in asymmetric correlations of asset return. Asymmetric correlations in gold price, price of crude oil, and U.S stock market was investigated by the method of conditional correlation and H statistic in this paper, and explain the research methods and conclusion of the relevant literature. The investigation results indicate that gold price have negative asymmetric correlation, which reflect higher risk of the fell price of gold over the past decade. On the contrary, relationship of the international crude oil prices and U.S. stock market is positive asymmetric correlation. Finally, view of asset allocation to explore the portfolio.
