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Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models
16 references·6 citing·33 second hop
Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models (2021)Hedging stock market prices with WTI, Gol…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)Is Bitcoin a hedge, a safe ha…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Does gold act as a hedge or a…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…GO‐GARCH: a multivariate generalized orthogonal GARCH model (2002)GO‐GARCH: a multivariate gene…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…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…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach (2023)On the drivers of technical a…Forecasting gold price using machine learning methodologies (2023)Forecasting gold price using …Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets (2022)Volatility Interdependence Be…Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review (2022)Portfolio Diversification, He…Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID-19 pandemic (2022)Connectedness between cryptoc…Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period (2021)Volatility spillovers and con…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)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)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)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)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)The Inefficiency of Bitcoin (2016)Correlations in Price Changes and Volatility across International Stock Markets (1990)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)The Cross‐Section of Volatility and Expected Returns (2006)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance832 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
  • 2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold

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526 cited
  • 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model475 cited
  • 2014Does gold act as a hedge or a safe haven for stocks? A smooth transition approach436 cited
  • Cited by

    • 2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review78 cited
    • 2021Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period62 cited
    • 2022Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets38 cited
    • 2023Forecasting gold price using machine learning methodologies38 cited
    • 2022Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID-19 pandemic37 cited
    • 2023On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach21 cited