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Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-tcopula approach
16 references·2 citing·36 second hop
Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-tcopula approach (2016)Hedges or safe havens—revisit the role of…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…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…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Collective Risk Management in a Flight to Quality Episode (2007)Collective Risk Management in…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectAn Introduction to Copulas (1999)An Introduction to CopulasThe Econometrics of Financial Markets (1997)The Econometrics of Financial…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold (2022)Safe haven properties of gree…Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis (2017)Directional predictability fr…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)“Options, Futures, and Other Derivatives” (2016)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Market Liquidity and Funding Liquidity (2008)
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Cited by

  • 2022Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold100 cited
  • 2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis84 cited