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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An Investment Strategy Based on Life and Business Cycles
TL;DR: In this article, the authors developed an investment strategy that considers both the life cycle and the business cycle by investing in the market index of emerging and global markets (called the Business and Life Cycle Fund (BLCF)).
Journal ArticleDOI
The economic value of high-frequency data in equity-oil hedge
TL;DR: In this paper, the economic value of high-frequency data in the equity-oil hedge was studied and the results revealed the benefits and limitations of using intraday information in cross-asset hedges.
Journal ArticleDOI
Re-examining the leverage effect and gold’s safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach
TL;DR: In this article, the relationship between gold prices and implied volatility in the futures markets of gold, re-examine the leverage hypothesis and attempt to make inferences about gold's safe haven properties.
Journal ArticleDOI
Safe Haven Assets - The Bigger Picture
TL;DR: In this paper, the authors use quantile regression to analyze the returns of potential safe haven assets conditional on all market conditions including periods of financial turmoil, and find a trade-off, i.e., stronger in-crisis performance of safe-haven assets is associated with weaker out-c crisis performance and vice versa for risky assets.
Journal ArticleDOI
Do economic crises cause trading in Bitcoin?
TL;DR: In this article , the authors examined the relationship between currency price, return and Bitcoin trading volume, and showed that low currency price and currency depreciation are accompanied with increased Bitcoin trading, indicating that Bitcoin is a hedge asset to protect against local currency depreciation, but not a safe-haven asset for the global crisis.
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