EconPapers    
Economics at your fingertips  
 

The place of gold in the cross-market dependencies

Sofiane Aboura (), Julien Chevallier, Jammazi Rania and Aviral Tiwari ()

Post-Print from HAL

Abstract: This paper investigates the inter-relationships between the gold price on the one hand, other precious metals (e.g. silver, palladium, platinum) and asset markets (e.g. stocks, bonds, crude oil) on the other hand. The econometric methodology relies on the Markov-switching BEKK model by Haas and Mittnik (2008) that captures time-varying correlations and bull-bear regimes for bivariate specifications. The model is applied to daily data from 1988 to 2013. The main results indicate that gold’s influence, through return and/or volatility spillovers, seems almost intact whatever the economic regime. Robustness checks of the statement that gold occupies a special place among commodities are provided under the form of a multi-asset portfolio management exercise.

Keywords: BEKK; commodities; financial markets; gold; markov-switching; multi-asset portfolio management (search for similar items in EconPapers)
Date: 2016-06-25
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01348702
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Published in Studies in Nonlinear Dynamics and Econometrics, MIT Press, 2016, . <10.1515/snde-2015-0017>

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: The place of gold in the cross-market dependencies (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01348702

DOI: 10.1515/snde-2015-0017

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-11-24
Handle: RePEc:hal:journl:halshs-01348702