assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … is found for the gold price differential vis-à-vis BEF, BSE, CAC, DOW, KLS, KS1, MXX, N100, NAS, NYA and SP5 and for both …

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates … magnitude of portfolio drawdowns. -- exchange rate forecasting ; forecast evaluation ; conditioners ; quantitative models …

constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The … variations in the price of gold around the events correlate with the underlying uncertainty shocks, due to the perception of gold …

usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …