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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Oil–gold time varying nexus: A time–frequency analysis
Rabeh Khalfaoui,Rabeh Khalfaoui +1 more
TL;DR: This paper analyzed the time varying nexus for oil and gold pairwise by employing the dynamic conditional correlation generalized multivariate autoregressive conditional heteroscedasticity DCC-MGARCH model of Engle (2002) as well as the time-scale approach based on multi-resolution analysis.
Journal ArticleDOI
Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?
TL;DR: In this article , the authors examined the hedge and safe-haven properties of different asset classes in crisis periods by utilizing OLS regression, quantile regression and quantile connectedness approach for pre-covid (October 1, 2013-March 10, 2020) and post-cavid data (March 11, 2020-August 27, 2021).
Journal ArticleDOI
What the hack: Systematic risk contagion from cyber events
Shaen Corbet,Constantin Gurdgiev +1 more
TL;DR: Examination of the impact of cybercrime and hacking events on equity market volatility across publicly traded corporations suggests that corporations with large data breaches are punished substantially in the form of stock market volatility and significantly reduced abnormal stock returns.
Journal ArticleDOI
What determines the gold inflation relation in the long-run?
TL;DR: In this paper, the authors examined the long-run dynamic relation between gold price and inflation in the Indian context from 1982 to 2015, and found that the changes in gold's long-term sensitivity to WPI can be forecast using fundamental variables like interest rates.
Journal ArticleDOI
Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
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.
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