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 prices are directly affected by changes in uncertainty....

We introduce a financial network approach to quantify the impact of counterparty risk on firms' daily market risk, measured via conditional volatility. Translating conditional volatility into a value-at-risk (VaR) framework allows us to identify extreme losses beyond an estimated loss limit and...