Downside/upside price spillovers between precious metals: A vine copula approach

Reboredo, Juan C.; Ugolini, Andrea

doi:10.1016/j.najef.2015.08.001

Cited by 57 publications

(21 citation statements)

References 52 publications

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“…Other studies for advanced nations with similar findings areReboredo (2013),Flavin et al (2014), Beckman et al(2015)andBredin et al (2015).4 We follow Reboredo (2013),Yang and Hamori (2014),Reboredo and Ugolini (2015) in our approach. These papers examined the role of gold as a safe haven asset against developed economies stock market returns and currencies, however, we focus on emerging market and…”

mentioning

confidence: 72%

Is gold a safe haven? The international evidence revisited

Bulut

Rizvanoghlu

2020

AOecon

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The literature has not settled down on safe haven property of gold in the emerging and developing countries. Therefore, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000–November 2018. We employ the GARCH-copula approach to estimate the lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for the strong safe haven property of an asset. Our findings indicate that while gold serves as a hedging instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 20 countries, and a strong safe haven asset (SHA) only in 9 countries.

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confidence: 72%

Is gold a safe haven? The international evidence revisited

Bulut

Rizvanoghlu

2020

AOecon

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“…Few studies analyzed asymmetric tail dependence. Reboredo and Ugolini [22] examined downside and upside price spillovers between precious metals by employing a vine copula model and measuring downside and upside value-at-risk and conditional value-at-risk. They revealed that the interdependency is different across precious metals, showing different average and tail dependence features.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

Choi¹,

Yoon²

2020

Preprint

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Changes in crude oil price affect the shipping freight market in three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the strongest channel. Therefore, it investigates the relationship between oil prices and three major maritime freight rates; the Baltic Dry Index (BDI), the Baltic Dirty Tanker Index (BDTI), and the Baltic Clean Tanker Index (BCTI). We employ the decomposition method, not studied in the existing literature. The copula approach identifies the time-varying effects and asymmetry in the tail dependence structure between oil prices and freight rates. The main results of this analysis are as follows. The decomposed components display different conditional dependence patterns, and asymmetry is revealed in the upper and lower tail dependence. In the long run, we find more dependence in extreme periods like the financial crises. In short-run fluctuations, we find the dependence increases in an economic boom. The implications of the results suggest that dependence can vary over time and may change depending on extreme events, implying that the complementary strategies of the long run and short run should be different.

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“…In the seminal paper [10], the PCC was used to model the dependency structure of a portfolio consisting of two stock and two bond return indices. Since then, these constructions have been used for equities [48,53,[61][62][63], interest rates [48,64,65], exchange rates [61,[66][67][68][69], electricity prices and other commodities [61,[70][71][72][73][74] and housing prices [75]. In most of these studies, the PCC shows excellent performance compared to alternative dependency models.…”

Section: Market Riskmentioning

confidence: 99%

Pair-Copula Constructions for Financial Applications: A Review

Aas

2016

Econometrics

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This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents a very flexible way of constructing higher-dimensional copulae. In this paper, we survey inference methods and goodness-of-fit tests for such models, as well as empirical applications of the PCCs in finance and economics.

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Downside/upside price spillovers between precious metals: A vine copula approach

Cited by 57 publications

References 52 publications

Is gold a safe haven? The international evidence revisited

Is gold a safe haven? The international evidence revisited

Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

Pair-Copula Constructions for Financial Applications: A Review

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