Miyazaki, Takashi; Toyoshima, Yuki; Hamori, Shigeyuki - In: Economics Bulletin 32 (2012) 1, pp. 37-50
In this article, we explore the dynamic interdependence between gold and other financial markets by using an asymmetric dynamic conditional correlation model. The asymmetry in the dynamic conditional correlation is not recognized in many pair-wise assets and complimentary asymmetry is recognized...