scispace - formally typeset
Search or ask a question
Author

Najemeddine Majdoub

Bio: Najemeddine Majdoub is an academic researcher. The author has contributed to research in topics: Copula (linguistics). The author has an hindex of 1, co-authored 1 publications receiving 7 citations.

Papers
More filters
Journal ArticleDOI
TL;DR: In this paper, the authors assess the capacity of Gold to be a hedge or a safe-haven against the depreciation value of USD, EUR, and JPY on average and during extreme movement using the copula theory.

21 citations


Cited by
More filters
Posted Content
TL;DR: In this article, the relationship between gold prices and the U.S. Dollar has been investigated by using spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers.
Abstract: We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia (2008) to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of Cappiello, Gerard and Manganelli (2005). We document the ability of gold to generate stable comovements with the Dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. Dollar.

58 citations

01 May 2006
TL;DR: In this paper, a test of equality between two dependence structures estimated through empirical copulas is developed for independent or paired samples, which is used for calculating p-values of the Cramer-von Mises test statistic.
Abstract: We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramer-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine.

13 citations

Journal ArticleDOI
TL;DR: In this paper, a TVP-VAR model was used to test whether gold was a safe haven for exchange rate risks from 1999 to 2018, and the five major world currencies were examined: the renminbi, euro, British pound, Japanese yen, and U.S. Dollar.

13 citations

Journal ArticleDOI
TL;DR: In this paper, the authors revisited the international evidence on hedge, safe haven, and diversification properties of precious metals, namely gold, silver, and platinum, for the G-7 stock markets.

11 citations