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....

After the huge rise and fall of agricultural commodity spot and futures prices between 2007 and 2008, the potential reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the academic literature. However, owing to the increasing...

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...