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:Â
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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Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective
TL;DR: In this article, a detailed observation by including 973 forms of cryptocurrency and 30 international indices from a dynamic perspective was made. And the empirical results mainly show that cryptocurrency is a safe haven but not a hedge for most of the international indices.
Journal ArticleDOI
Optimal hedge ratios for clean energy equities
TL;DR: In this article, the authors use daily data covering the period March 03, 2008 to October 31, 2017, to examine how crude oil, US-bonds, gold, VIX, OVX and European carbon prices can be used to hedge an investment in clean energy equities.
Journal ArticleDOI
Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach
TL;DR: In this paper, the authors examined the benefit of including Bitcoin in a traditional benchmark portfolio of stocks and bonds and showed that the benefits of Bitcoin are quite considerable with substantially higher risk-adjusted returns.
Journal ArticleDOI
Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries
Walid Chkili,Walid Chkili +1 more
TL;DR: In this article, the authors examined the dynamic relationship between gold and stock markets using data for the BRICS counties and found that adding gold to a stock portfolio enhances its risk-adjusted return.
Journal ArticleDOI
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
TL;DR: In this paper, the authors characterize the oil market as a nonlinear-switching phenomenon and examine its dynamics in response to changes in geopolitical risks over low and high risk scenarios, finding that the effects of threats appear to be moderate or non-significant.
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.
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Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more