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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
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 …
Persistent link: https://www.econbiz.de/10010515402
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
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 …
Persistent link: https://www.econbiz.de/10010407524
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
competing models. We show that the forecasting gains translate into economically and statistically significant (risk …
Persistent link: https://www.econbiz.de/10011313235
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Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008
Kayral, Ihsan Erdem - 2017
Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock...
Persistent link: https://www.econbiz.de/10012955993
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Foreign Exchange Predictability During the Financial Crisis : Implications for Carry Trade Profitability
Anatolyev, Stanislav - 2017
competing models. We show that the forecasting gains translate into economically and statistically significant (risk …
Persistent link: https://www.econbiz.de/10012948703
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Risk Transmission Beyond Financial Crises : Volatility Spillovers and Spillbacks Between SMICs and the U.S
Yu, Ying - 2019
Utilizing VAR-DCC-MVGARCH model and volatility spillover index, we examine international spillovers and spillbacks between SMICs and the U.S. Results show that SMICs and the U.S. present dynamic and asymmetric volatility spillovers and spillbacks during and beyond financial crisis. The effects...
Persistent link: https://www.econbiz.de/10012863678
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Dissection of Bitcoin's multiscale bubble history : from January 2012 to February 2018
Gerlach, Jan-Christian; Demos, Guilherme; Sornette, Didier - 2018
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...
Persistent link: https://www.econbiz.de/10011899669
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - 2013
Persistent link: https://www.econbiz.de/10009722393
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The safe haven feature of gold in the recent crisis : rolling regression approach
Arnerić, Josip; Paić, Filip - In: Croatian review of economic, business and social … 9 (2023) 2, pp. 109-122
gold still demonstrates the qualities of a safe haven investment during unprecedented events like the COVID-19 pandemic and … rolling regression between gold and the S&P500 index was employed, taking into account the time-varying properties of daily … with the COVID-19 pandemic and the initiation of the Ukrainian war. These results offer empirical evidence that gold …
Persistent link: https://www.econbiz.de/10014480968
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Long-term risk class migrations of non-bankrupt and bankrupt enterprises
Korol, Tomasz - In: Journal of business economics and management 21 (2020) 3, pp. 783-804
traditional forecasting models. The presented studies focus on the assessment of credit risk classes and on determination of the … of 15 years before the enterprises went bankrupt was conducted. This long forecasting horizon allows one to identify …
Persistent link: https://www.econbiz.de/10012270447