The notion that investors shift to gold during economic market crises remains unverifed for many cryptocurrency markets. This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19. Through the...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Existing multivariate GARCH models either impose strong restrictions on the parameters or do not guarantee a well-defined (positive definite) covariance matrix. We focus on the multivariate GARCH model of Baba, Engle, Kraft and Kroner (BE=) and show that the covariance and correlation is not...

According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...

The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

In our study, we individually forecast 26 metal prices one-month ahead and outperform the predefined benchmark model, a random-walk (with drift) in 18 (18) cases. These forecasts are based on an overview over a large set of potential predictors for mineral commodities, originating from studies...

This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...

Using Artificial Intelligence (AI) techniques, we quantitatively examine the mentions of ESG terms in the U.S. corporate filings with the SEC over the 2019-20 period. We find that in our sample of companies, the management tends to focus ESG discussions in corporate filings along three...

We statistically test for the factor structure driving common global dynamics in macroeconomic and financial data by employing a stochastic factor selection approach. Using a sample of 16 developed countries from 1996Q1 to 2019Q4, we find strong evidence of a global macro-financial cycle and an...