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On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach

Author

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  • Riadh Abed

    (University of Tunis El Manar)

  • Amna Zardoub

    (University of Sousse)

Abstract

The analysis of time varying correlation between gold price and financial market in the context of international investments has been well researched in the literature in last few years. In this paper we study the interdependence of three financial markets and the gold price. We adopt a multivariate asymmetric dynamic conditional correlation EGARCH framework, during the period spanning from January 5, 1995 until May 30, 2017. The empirical results suggest asymmetric responses in correlations among gold market and financial market. We find that asymmetric dynamic correlations exhibit substantial time variation even in similar market tensions for same pairs of assets. Our findings imply that investors and fund managers should take into account the asymmetric dependence structure, which depends on the upside or downside of the market.

Suggested Citation

  • Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.
    • Handle: RePEc:kap:iecepo:v:16:y:2019:i:4:d:10.1007_s10368-019-00444-3
    DOI: 10.1007/s10368-019-00444-3
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    More about this item

    Keywords

    A-DCC model; Gold market; Exchange market; Stock market and asymmetries;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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