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Oil–gold time varying nexus: A time–frequency analysis

Rabeh Khalfaoui

Physica A: Statistical Mechanics and its Applications, 2018, vol. 503, issue C, 86-104

Abstract: This paper analyzes the time varying nexus for oil–goldpairwise by employing the dynamic conditional correlation generalized multivariate autoregressive conditional heteroscedasticity DCC-MGARCH model of Engle (2002) as well as the time-scale approach based on multi-resolution analysis. For this goal, we focus on three subsamples, before, during and after the 2008–2009 global financial crisis. Key findings are as follows. (i) Wavelet analysis is a splendid complement to analyze the nexus between oil and gold markets. (ii) Low nexus for oil–gold pairwise after the recent global financial crisis. (iii) Gold and oil moved in reverse direction in the mid-run and long-run horizons during the crisis. (iv) Thanks to wavelets for helping financial managers and investors to manage their investment risks and making decision strategies.

Keywords: DCC-MGARCH; Wavelet analysis; Global financial crisis; Hedging; Oil; Gold (search for similar items in EconPapers)
Date: 2018
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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