bond markets, and investigate the role of gold as a hedge and safe haven asset from an ex-ante point of view. The results … show that gold is not expected to serve as hedge and safe haven for the bond and stock markets, but it is so realized ex …-post. Further, we find that gold is neither expected to be an inflation hedge nor is it realized. …

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …