Journal ArticleDOI
Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
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TLDR
The authors investigated the return relations between major asset classes using data from both the US and the UK and found that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.About:
This article is published in International Review of Financial Analysis.The article was published on 2013-09-01. It has received 452 citations till now. The article focuses on the topics: Asset allocation & Asset (economics).read more
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The drivers of Bitcoin demand: A short and long-run analysis
TL;DR: In this paper, the authors examine Bitcoin from a monetary-theory perspective and build a demand model that explores both the long-term and short-term relationships among variables, finding that Bitcoin behaves as a speculative asset in the short term.
Journal ArticleDOI
A view to the long-run dynamic relationship between crude oil and the major asset classes☆☆☆
TL;DR: In this article, the authors estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies.
Journal ArticleDOI
Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach
Walid Mensi,Walid Mensi,Syed Jawad Hussain Shahzad,Shawkat Hammoudeh,Rami Zeitun,Mobeen Ur Rehman +5 more
TL;DR: In this article, the authors examined the portfolio risk and the co-movements between each of the BRIC emerging and South Asian frontier stock markets and each major developed stock markets (U.S., UK and Japan), using the wavelet squared coherence approach as well as a wavelet-based Value at Risk (VaR) method.
Journal ArticleDOI
How does economic policy uncertainty drive gold–stock correlations? Evidence from the UK
Ruzhao Gao,Bing Zhang +1 more
TL;DR: The authors investigated the effects of economic policy uncertainty on correlations between the UK stock market and gold market and found that less certain economic policies result in lower correlations, while more certain economic policy results in higher correlations.
Journal ArticleDOI
Quantile behaviour of cointegration between silver and gold prices
TL;DR: In this paper, the authors investigated the quantile behavior of cointegration between silver and gold prices by employing quantile autoregressive distributed lag (QARDL) model and found that the existence of co-integration is mainly due to the tail quantiles outside the interquartile range.
References
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Book ChapterDOI
Prospect theory: an analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
TL;DR: In this paper, the authors present a critique of expected utility theory as a descriptive model of decision making under risk, and develop an alternative model, called prospect theory, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights.
Journal ArticleDOI
Prospect theory: analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
Journal ArticleDOI
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
Journal ArticleDOI
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
TL;DR: This paper proposed a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model, which allows for series-specific news impact and smoothing parameters and permits conditional asymmetries in correlation dynamics.
Journal ArticleDOI
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more
TL;DR: In this article, constant and time-varying relations between U.S., U.K. and German stock and bond returns and gold returns were investigated to investigate gold as a hedge and a safe haven.
Related Papers (5)
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more