Beckmann, Joscha; Berger, Theo; Czudaj, Robert - 2017
This study adopts a copula wavelet approach to analyze dynamics of the gold price against bonds, stocks and exchange … rates based on disaggregation of the underlying relationships across different frequencies. We also examine whether gold … 1985, we find that the role of gold changes significantly after the collapse of Lehman Brothers in 2008. Gold is unable to …