This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc's defensive …. Drawing on Multivariate Garch DCC models, the hedging effectiveness of bivariate Swiss Franc-hedged portfolios is found to be … notably higher than that of gold-hedged portfolios. Value-at-Risk simulations, assuming equal or "optimal" portfolio weights …

This study deals with the issue whether gold actually exhibits the function of a hedge or a safe haven as often … and therefore allows to test whether gold acts as a hedge for stocks, the other one accounts for periods characterized by … extreme market conditions where the volatility of the stock returns is high. The latter state enables us to test whether gold …