This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc's defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing on Multivariate Garch DCC models, the hedging...

This study investigates the temporal variation in the safe haven status of the Japanese yen, Swiss franc, and U.S. dollar. Investors prefer to purchase a safe haven currency (SHC) in times of high exchange rate volatility, parametrized herein with time-variant degrees of risk aversion. Until the...

This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc's defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing on Multivariate Garch DCC models, the hedging...

This paper investigates the residential integration of transnational regional economies, comparing them with the standard national setting studied in urban economics. For this purpose, we construct a theoretical model for residential location choices for a transnational economy with integrated...

A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identification of Algorithmic trading (AT), we find that AT, broadly defined, appears to have contributed to the deterioration of market quality following...