Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on … the relationship between gold return and some key financial indicators changed three times throughout the sample period …. According to my empirical analysis of the whole sample period, I find that: (1) the gold return rises significantly if stock …