Author
Rihab Bedoui
Bio: Rihab Bedoui is an academic researcher from University of Paris. The author has contributed to research in topics: Gold as an investment & Exchange rate. The author has an hindex of 5, co-authored 7 publications receiving 73 citations.
Papers
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TL;DR: In this paper, a Nested copula-based GJR-GARCH model is proposed to explore the dependence structure between oil, gold, and the USD exchange rate, and a comparative framework based on two sub-periods is implemented to capture the co-movement during normal and crisis periods.
35 citations
TL;DR: In this article, a Nested Copula based GARCH model is proposed to explore the dependence structure between oil, gold and USD exchange rate and a comparative framework based on three sub-periods is implemented to capture the co-movement during normal and crisis period.
27 citations
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TL;DR: In this paper, a Nested Copula based GARCH model is proposed to explore the dependence structure between oil, gold and USD exchange rate and a comparative framework based on three sub-periods is implemented to capture the co-movement during normal and crisis period.
Abstract: Energy commodities and precious metals differ from other trading products. In fact, both oil and gold prices are leading economic variables and drive the evolution of the world economy. Since the US dollar is used as the primary currency of international crude oil and gold trading, the relationship between commodities, metals and exchange rates became a major research agenda recently. Therefore, this study proposes a Nested copula based GARCH models to explore the dependence structure between oil, gold and USD exchange rate. More importantly, a comparative framework based on three sub-periods is implemented to capture the co-movement during normal and crisis period. Empirical results suggest that for both crisis period the dependence between oil, gold and USD exchange rate is stronger comparing with the dependence during the untroubled period. Moreover, the co-movement is accelerated which is explained by the unusual movement of USD during the global financial crisis of 2007–2009. (This abstract was borrowed from another version of this item.)
25 citations
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
TL;DR: In this paper, the authors examined the hedging and safe haven ability of diamonds and five precious metals that is, gold, silver, palladium, platinum and rhodium by using copula process.
13 citations
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TL;DR: Findings prove that the pandemic has been largely responsible for risks transmission across various commodity and financial markets and has significantly raised investors’ and policy uncertainties and immensely altered global financial cycle which in turn results in global flows of capital, and movements in the prices of assets across different financial markets.
197 citations
TL;DR: The causal relationship between crude oil and gold spot prices is examined to assess how the economic impact of COVID-19 has affected them, and a bilateral contagion effect of bubbles inOil and gold markets during the recent CO VID-19 outbreak is found.
160 citations
TL;DR: The empirical results find gold as a significant safe haven against oil price risks and the optimal portfolio and hedging analyses conducted also validate the hedging effectiveness of gold against risk associated with oil.
130 citations
TL;DR: This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualified by the IMF as the Great Lockdown.
86 citations
TL;DR: In this article, the safe haven prowess of gold against some exogenous shocks due to the COVID-19 pandemic was examined and it was shown that gold consistently offers better safe haven properties than the US stocks as well as other precious metals like Silver, Palladium and Platinum regardless of the period.
63 citations