Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios

Author:

Salisu Afees A.,Pierdzioch Christian,Gupta Rangan,Gabauer David

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference41 articles.

1. Vulnerable growth;Adrian;American Economic Review,2019

2. Nonparametric tail risk, stock returns, and the macroeconomy;Almeida;Journal of Financial Econometrics,2017

3. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions;Antonakakis;Journal of Risk and Financial Management,2020

4. The unprecedented stock market reaction to COVID-19;Baker;Review of Asset Pricing Studies,2020

5. Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data;Boubaker;Physica A: Statistical Mechanics and its Applications,2020

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