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Dynamic spillovers between commodity and currency markets
Antonakakis, Nikolaos; Kizys, Renatas - In: International review of financial analysis 41 (2015), pp. 303-319
Persistent link: https://www.econbiz.de/10011509000
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Can gold hedge and preserve value when the US dollar depreciates?
Reboredo, Juan Carlos; Rivera-Castro, Miguel A. - In: Economic modelling 39 (2014), pp. 168-173
Persistent link: https://www.econbiz.de/10010419909
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010324426
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance … returns maylead to improved hedge behaviour within currency overlay management. …
Persistent link: https://www.econbiz.de/10010324963
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance … returns maylead to improved hedge behaviour within currency overlay management. …
Persistent link: https://www.econbiz.de/10011313921
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On the short- and long-run efficiency of energy and precious metal markets
Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: Energy economics 40 (2013), pp. 832-844
Persistent link: https://www.econbiz.de/10010355559
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Modeling dynamics of metal price series via state space approach with two common factors
Golosnoy, Vasyl; Rossen, Anja - 2014
In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive...
Persistent link: https://www.econbiz.de/10010433963
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Modeling dynamics of metal price series via state space approach with two common factors
Golosnoy, Vasyl; Rossen, Anja - In: Empirical economics : a journal of the Institute for … 54 (2018) 4, pp. 1477-1501
Persistent link: https://www.econbiz.de/10011949567
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A sectoral analysis of the financial instability hypothesis
Mulligan, Robert F. - In: The quarterly review of economics and finance : journal … 53 (2013) 4, pp. 450-459
Persistent link: https://www.econbiz.de/10010374756