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
Citations
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Journal ArticleDOI
Is gold a hedge and safe haven for stock market
TL;DR: In this article, the authors examined the hedge and safe haven properties of gold relative to Dow Jones stock industry indices using quantile-GARCH approach and split the sample period into two sub-periods.
Journal ArticleDOI
The synchronized and exceptional price performance of oil and gold: Explanations and prospects
Roberto Aguilera,Marian Radetzki +1 more
TL;DR: In this article, the authors compare the global markets for gold and oil and propose that developments in the oil market, and the resulting effects on the macroeconomy, influenced investment activity in gold, thus providing the most plausible explanation for the two commodities' price synchronization.
Posted Content
Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series
TL;DR: In this paper, the association between Bitcoin's market price and a set of internal and external factors using Bayesian Structural Time Series Approach is explored, and the results show that the Bitcoin price is negatively associated with a neutral investor's sentiment, gold's price and Yuan to USD exchange rate, while positively related to stock market index, USD to Euro exchange rate and variated signs among the different countries' search trends.
Journal ArticleDOI
An empirical analysis of the relationships between crude oil, gold and stock markets
TL;DR: In this article, the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US, was analyzed.
Journal ArticleDOI
Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension
TL;DR: In this paper, the authors studied the relationship between different types of oil price shocks and the metal market and found that gold is a net shock receiver in the system, indicating its inappropriateness to provide diversification benefits for other assets.
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