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Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters
16 references·3 citing·42 second hop
Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters (2021)Time and frequency connectedness and netw…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Asymmetric impact of gold, oi…Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Is gold the best hedge and a …Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…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…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Is Gold a Hedge or a Safe Hav…On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)On the application of the dyn…Do Precious Metals Shine? An Investment Perspective (2006)Do Precious Metals Shine? An …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…Gold and Gold Stocks as Investments for Institutional Portfolios (1989)Gold and Gold Stocks as Inves…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Quantile dependence of Bitcoin with clean and renewable energy stocks: new global evidence (2023)Quantile dependence of Bitcoi…Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China (2022)Time-frequency connectedness …Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis (2021)Precious metals, oil, and ASE…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)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)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)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)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Rational contagion and the globalization of securities markets (2000)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)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? 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this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 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
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,891 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,529 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2006Do Precious Metals Shine? An Investment Perspective479 cited
  • 2013Is gold the best hedge and a safe haven under changing stock market volatility?396 cited
  • 2016Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets390 cited

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  • 1989Gold and Gold Stocks as Investments for Institutional Portfolios335 cited
  • 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios301 cited
  • Cited by

    • 2022Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China48 cited
    • 2023Quantile dependence of Bitcoin with clean and renewable energy stocks: new global evidence48 cited
    • 2021Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis46 cited