. Based upon our BEKK-GARCH model corollaries, we design two hedged portfolios consisting of gold/stocks and gold/bonds. The …This paper examines the volatility transmission mechanisms bivariately, between gold prices and alternatively, Turkish … economy, marked by the 2008 crisis. Our results confirm a bi-directional shock and volatility transmission between gold prices …

assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

. Based upon our BEKK-GARCH model corollaries, we design two hedged portfolios consisting of gold/stocks and gold/bonds. The …This paper examines the volatility transmission mechanisms bivariately, between gold prices and alternatively, Turkish … economy, marked by the 2008 crisis. Our results confirm a bi-directional shock and volatility transmission between gold prices …

This paper looks into the role of gold as a safe haven or a hedge against stocks. We extend the existing literature in … bivariate ARMA-GARCH-X model to estimate conditional covariances between gold and stocks returns. The regressions are run on … the covariance between gold and stocks returns is found negative or null in all cases. Gold is also able to hedge against …

Purpose The argument whether gold is a hedge or haven is a debatable issue. Mainly, hedge is a class of asset that is … research is to take Saudi Arabia as an example to examine the relationship of gold price in Saudi Arabia with key determinants … the autoregressive distributed lag model (ARDL). Design/methodology/approach The ARDL analysis was employed by using six …