Coudert, Virginie; Raymond-Feingold, Hélène - In: Economics Bulletin 31 (2011) 2, pp. 1613-1622
This paper looks into the role of gold as a safe haven or a hedge against stocks. 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 conditional...