Re-examining the leverage effect and gold’s safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach
Author:
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s43546-021-00092-3.pdf
Reference41 articles.
1. Anand R, Madhogaria S (2012) Is gold a ‘safe-haven’?-an econometric analysis. Proc Econ Financ 1:24–33
2. Anscombe FJ, Glynn WJ (1983) Distribution of the kurtosis statistic b 2 for normal samples. Biometrika 70(1):227–234
3. Arias O, Hallock KF, Sosa-Escudero W (2002) Individual heterogeneity in the returns to schooling: instrumental variables quantile regression using twins data. In: Economic applications of quantile regression. Springer, pp 7–40
4. Badshah IU (2013) Quantile regression analysis of the asymmetric return-volatility relation. J Futures Mark 33(3):235–265
5. Bai J, Perron P (2003) Critical values for multiple structural change tests. Econometr J 6(1):72–78
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Nonlinear relationships between the participation index and key financial assets: A quantile regression analysis;Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi;2024-07-31
2. A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions;Journal of Futures Markets;2023-05-22
3. Contemporaneous dependence between euro, crude oil, and gold returns and their respective implied volatility changes. Evidence from the local Gaussian correlation approach;Studies in Economics and Finance;2023-04-10
4. Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas;Resources Policy;2022-12
5. Return Volatility Spread in Commodity Volatility Indices: Spot and Future Market Research;The Economics and Finance Letters;2022-07-21
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3