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Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis
16 references·1 citing·24 second hop
Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis (2021)Oil and precious metals: Volatility trans…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…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Multivariate GARCH models: a surveyMultivariate GARCH models: a …On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis (2022)On the stylized facts of prec…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)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)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
this work references cited by second hop

References

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1,188 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
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    • 2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis21 cited