Coudert, Virginie; Raymond, Hélène - In: Revue économique 63 (2012) 5, pp. 993-1011
This paper looks into the role of gold as a safe haven or a hedge against stock losses. We extend the existing literature in two ways. First, we consider crisis periods successively defined by recessions and bear markets. Second, we use a bivariate arma-garch-x model to estimate the conditional...