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Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach
16 references·0 citing·42 second hop
Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach (2021)Hedging the Risks of MENA Stock Markets w…Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017)Cointegration and nonlinear c…Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries (2016)Dynamic correlations and hedg…Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation (2016)Does gold hedge stock market,…Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Asymmetric impact of gold, oi…The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015)The Interactions among Gold, …Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Gold, Oil, and Stocks: Dynamic Correlations (2015)Gold, Oil, and Stocks: Dynami…Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis (2015)Analyzing volatility spillove…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Hedges and safe havens: An ex…Precious metals–exchange rate volatility transmissions and hedging strategies (2010)Precious metals–exchange rate…Oil and the macroeconomy: using wavelets to analyze old issues (2010)Oil and the macroeconomy: usi…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)On the application of the dyn…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…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)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Modeling Asymmetric Comovements of Asset Returns (1998)A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets (2017)The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations (2018)Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness (2020)Oil price shocks and stock market activity (1999)CNNpred: CNN-based stock market prediction using a diverse set of variables (2019)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)World gold prices and stock returns in China: Insights for hedging and diversification strategies (2014)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)Oil and the Macroeconomy since World War II (1983)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia (2019)Wavelet analysis of impact of renewable energy consumption and technological innovation on CO2 emissions: evidence from Portugal (2021)The role of renewable energy consumption and financial development in environmental sustainability: implications for the Nordic Countries (2022)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Multivariate GARCH models: a survey (2006)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method (2016)Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico (2019)Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)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)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,109 cited
  • 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates664 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH553 cited
  • 2016Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets390 cited
  • 2010Oil and the macroeconomy: using wavelets to analyze old issues348 cited
  • 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios294 cited
  • 2015Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis266 cited
  • 2017Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices242 cited
  • 2010Precious metals–exchange rate volatility transmissions and hedging strategies209 cited
  • 2016Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries173 cited
  • 2016Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation

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148 cited
  • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
  • 2015The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500122 cited
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