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Price stability properties and volatility analysis of precious metals: An ICSS algorithm aqpproach

Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-15

market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes …

Persistent link: https://www.econbiz.de/10014332664

Price stability properties and volatility analysis of precious metals : an ICSS algorithm aqpproach

Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15

market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes …

Persistent link: https://www.econbiz.de/10013471164

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

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio...

Persistent link: https://www.econbiz.de/10010732605

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Hammoudeh, S.M.; Yuan, Y.; McAleer, M.J.; Thompson, M.A. - Erasmus University Rotterdam, Econometric Institute - 2009

Persistent link: https://www.econbiz.de/10008484071

Is gold a safe haven against equity market investment in emerging and developing countries?

Gürgün, Gözde; Ünalmış, Ibrahim - 2014

Persistent link: https://www.econbiz.de/10011401474

Is gold a safe haven against equity market investment in emerging and developing countries?

Gürgün, Gözde; Ünalmış, İbrahim - In: Finance research letters 11 (2014) 4, pp. 341-348

Persistent link: https://www.econbiz.de/10011300444

Is Gold a Safe Haven Against Equity Market Investment in Emerging and Developing Countries ?

Gurgun, Gozde; Unalmis, Ibrahim - Türkiye Cumhuriyet Merkez Bankası - 2014

The hedge and safe haven properties of gold in advanced economies’ financial markets are well documented in the … aims to fill this gap by empirically analysing the hedge and safe haven properties of gold against equity market investment … is both a hedge and a safe haven in most of these countries. This result also holds in the post-2008 crisis period. In …

Persistent link: https://www.econbiz.de/10010941512

A dynamic hedging approach for refineries in multiproduct oil markets

Ji, Qiang; Fan, Ying - In: Energy 36 (2011) 2, pp. 881-887

A multiproduct portfolio hedge ratio strategy for oil futures is investigated using a multivariate GARCH model based on … model and dynamic B-GARCH model are selected to compare with our model for hedge effectiveness. Comparison of hedge … estimate the time-varying optimal hedge ratios for the oil-cracking margin. In addition, a naïve strategy, a traditional OLS …

Persistent link: https://www.econbiz.de/10011054892

Is gold a safe haven against equity market investment in emerging and developing countries?

Gürgün, Gözde; Ünalmış, İbrahim - In: Finance Research Letters 11 (2014) 4, pp. 341-348

The hedge and safe haven properties of gold in advanced economies’ financial markets are well documented in the … aims to fill this gap by empirically analyzing the hedge and safe haven properties of gold against equity market investment … is both a hedge and a safe haven in most of these countries. This result also holds in the post-2008 crisis period. In …

Persistent link: https://www.econbiz.de/10011118183