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Are oil, gold and the euro inter-related? time series and neural network analysis
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In this article, the authors investigated inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies and found that the markets for oil and gold are efficient but have limited interrelation among themselves.Citations
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Is gold a safe haven or a hedge for the US dollar? Implications for risk management
TL;DR: In this paper, the role of gold as a safe haven or hedge against the US dollar (USD) using copulas to characterize average and extreme market dependence between gold and the USD was assessed.
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Dynamic spillovers of oil price shocks and economic policy uncertainty
TL;DR: In this paper, the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil importing countries over the period 1997:01-2013:06 was examined.
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The Financial Economics of Gold - a survey
TL;DR: A review of the literature on gold as an investment can be found in this article, where a review of how the gold markets operate, including the under researched leasing market, is presented.
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Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries
TL;DR: In this article, the authors investigated the financial and monetary policy responses to oil price shocks using a Structural VAR framework and found that the level of inflation in both net oil exporting and net oil importing countries is significantly affected by oil price innovations.
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The effect of size on the failure probabilities of SMEs: An empirical study on the US market using discrete hazard model
Izidin El Kalak,Robert Hudson +1 more
TL;DR: In this article, the authors investigated the extent to which the size affects the SME probabilities of bankruptcy using a dataset of (11,117) US non-financial firms, of which (465) filed for insolvency under Chapter 7/11 between 1980 and 2013.
References
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models / Søren Johansen
TL;DR: In this paper, the authors present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms, and show that the asymptotic distribution of the maximum likelihood estimator is mixed Gausssian.
Book
Applied Econometric Time Series
TL;DR: In this article, the authors present an alternative solution method for Deterministic Processes by iteratively solving homogeneous difference equation and finding particular solutions for deterministic processes, and conclude that the proposed solution is the best solution.
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Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.