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This paper seeks to investigate the time-varying conditional correlations to the crude oil futures contract returns and the private Credit Default Swap market returns of Germany and France. We employ a dynamic conditional correlation (DCC) Generalized Auto Regressive Conditional...
Persistent link: https://www.econbiz.de/10013228882
This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....
Persistent link: https://www.econbiz.de/10013228878
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010407524
sample consists of fve prospective safe-haven assets-gold, bitcoin, the euro, the Japanese yen, and the Swiss franc-and fve … primary world stock market indices-the S&P 500, Financial Times Stock Exchange (FTSE) 100, DAX, STOXX Europe 600, and Nikkei … 225. Our fndings are useful for inves‑ tors searching for the best safe-haven assets among gold, bitcoin, and currencies …
Persistent link: https://www.econbiz.de/10014541628
Commodities have attracted considerable interest as a financial investment in recent years. This article discusses the factors behind their growing appeal and assesses the extent to which market characteristics, such as price volatility, have changed as a result. The feature concludes that...
Persistent link: https://www.econbiz.de/10013094773
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010515402
aluminium futures market, leverage effect is found for copper futures traded at MCX, India. Similar to aluminium, it is evident … indicates that the risk premium of the asset is not significant to hedge. Further, unlike copper and aluminium, short … shock of futures has a persistent effect on the cash market of aluminium, copper and nickel and vice-versa. Future research …
Persistent link: https://www.econbiz.de/10014535532
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