SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria
16 references·1 citing·41 second hop
Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria (2019)Analysing the gold-stock nexus using VARM…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…Oil prices, US stock return, and the dependence between their quantiles (2015)Oil prices, US stock return, …On the links between stock and commodity markets' volatility (2013)On the links between stock an…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Hedges and safe havens: An ex…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…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 (2009)Is Gold a Hedge or a Safe Hav…Dealing with Structural Breaks (2005)Dealing with Structural BreaksASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach (2019)Assessing risk contagion amon…Economic Forces and the Stock Market (1986)Estimating Production Functions Using Inputs to Control for Unobservables (2003)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A test for independence based on the correlation dimension (1996)Market Liquidity and Trading Activity (2001)Tents, Tweets, and Events: The Interplay Between Ongoing Protests and Social Media (2015)Rational contagion and the globalization of securities markets (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)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)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Lectures on Stochastic Programming (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,990 cited
  • 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,707 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,506 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,457 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,164 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 2005Dealing with Structural Breaks701 cited
  • 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates664 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series565 cited
  • 2013On the links between stock and commodity markets' volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

559 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • Cited by

    • 2019Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach48 cited