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Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor
16 references·4 citing·32 second hop
Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor (2021)Spillovers and connectedness between majo…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…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 (2010)Is Gold a Hedge or a Safe Hav…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Do Precious Metals Shine? An Investment Perspective (2006)Do Precious Metals Shine? An …Gold as a hedge against the dollar (2005)Gold as a hedge against the d…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19 (2023)The dynamic connectedness bet…Downside and upside risk spillovers between precious metals and currency markets: Evidence from before and during the COVID-19 crisis (2023)Downside and upside risk spil…Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets (2021)Multiscale spillovers and con…Frequency volatility connectedness and market integration in international real estate investment trusts (2021)Frequency volatility connecte…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 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
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2005Gold as a hedge against the dollar572 cited

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  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2006Do Precious Metals Shine? An Investment Perspective479 cited
  • Cited by

    • 2021Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets62 cited
    • 2021Frequency volatility connectedness and market integration in international real estate investment trusts26 cited
    • 2023The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-1926 cited
    • 2023Downside and upside risk spillovers between precious metals and currency markets: Evidence from before and during the COVID-19 crisis25 cited