Forecasting portfolio risk requires both, estimation of marginal return distributions for individual assets and the dependence structure of returns as well. In this paper, we concentrate on Value at Risk as a popular risk measure and combine elliptical copulas with time varying Dynamic...

This study deals with the issue whether gold actually exhibits the function of a hedge or a safe haven as often referred to in the media and academia. In order to test the Baur and Lucey (2010) hypotheses, we contribute to the existing literature by the augmentation of their model to a smooth...