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Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission
16 references·2 citing·39 second hop
Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission (2014)Identifying safe haven assets for equity …The Determinants of Stock and Bond Return Comovements (2010)The Determinants of Stock and…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Asset market linkages: Eviden…Why does the correlation between stock and bond returns vary over time? (2007)Why does the correlation betw…Y2K fears and safe haven trading of the U.S. dollar (2006)Y2K fears and safe haven trad…Do Precious Metals Shine? An Investment Perspective (2006)Do Precious Metals Shine? An …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (2006)An econometric model of nonli…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …Evolution of international stock and bond market integration: Influence of the European Monetary Union (2005)Evolution of international st…Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach (2004)Modeling the Conditional Cova…Risk Premia and the Dynamic Covariance between Stock and Bond Returns (2003)Risk Premia and the Dynamic C…Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Information and volatility li…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Gold and Gold Stocks as Investments for Institutional Portfolios (1989)Gold and Gold Stocks as Inves…False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network (2022)False Safe Haven Assets: Evid…Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification (2017)Tail dependence between gold …Oil and the Macroeconomy since World War II (1983)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A model of carbon price interactions with macroeconomic and energy dynamics (2011)Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests (2015)Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Generalized autoregressive conditional heteroskedasticity (1986)The macroeconomic determinants of volatility in precious metals markets (2010)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Volatility transmission between oil prices and equity sector returns (2009)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Geopolitical risks and the oil-stock nexus over 1899–2016 (2017)Non-monetary news in central bank communication (2019)Dynamic Conditional Correlation (2002)Illiquidity and stock returns: cross-section and time-series effects (2002)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2011)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)
this work references cited by second hop

References

  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 2010The Determinants of Stock and Bond Return Comovements533 cited
  • 2006Do Precious Metals Shine? An Investment Perspective479 cited
  • 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.435 cited
  • 1989Gold and Gold Stocks as Investments for Institutional Portfolios335 cited
  • 2010Asset market linkages: Evidence from financial, commodity and real estate assets293 cited
  • 2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

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258 cited
  • 2005Evolution of international stock and bond market integration: Influence of the European Monetary Union213 cited
  • 2007Why does the correlation between stock and bond returns vary over time?195 cited
  • 2006Y2K fears and safe haven trading of the U.S. dollar178 cited
  • 2003Risk Premia and the Dynamic Covariance between Stock and Bond Returns159 cited
  • 2004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach158 cited
  • Cited by

    • 2022False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network29 cited
    • 2017Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification29 cited