In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

This paper investigates whether Bitcoin acts as a diversifier, hedge or safe haven tool for investors in major developed and developing markets, as well as for commodities. This paper employs the GARCH Dynamic Conditional Correlation (DCC) model. The sample covers seven developed and six...

Trading decisions are based on market conditions with changing volatility levels. Periods with low volatility induce positively autocorrelated returns and autocorrelations turn negative during periods of high volatility. The Brexit referendum serves as a suitable event in order to depict...

The literature on corporate financing is quite extensive. However, researchers have so far not shed light on the IPO determining factors in Europe as a whole. This paper addresses three main questions observing more than 9000 IPOs performed during a period from 1991 to 2014. First, the...

We find that gold has not performed particularly well compared to other assets. However, there is a place for gold-related assets in institutional portfolios separate from commodities and energy equities. The role for gold lies in its diversification and macroeconomic hedging benefits.We examine...

In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

This paper investigates whether Bitcoin acts as a diversifier, hedge or safe haven tool for investors in major developed and developing markets, as well as for commodities. This paper employs the GARCH Dynamic Conditional Correlation (DCC) model. The sample covers seven developed and six...

This paper examines the impacts of geopolitical risk on the dynamic connectedness between a country’s equity market and the global agricultural commodity market around the world. We show that the financialization of agricultural commodities is widespread. Overall geopolitical risk negatively...

We use wavelet coherence analysis on global COVID-19 fear index and soft commodities spot and futures prices to investigate safe-haven properties of soft commodities during the period of novel Corona virus pandemic. The results show that staple food soft commodities (wheat, corn, and cocoa) and...

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States,...