Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

“…Talbi et al. [21] propose a multivariate vine copula-based GARCH model to assess the hedge properties of precious metals. They observe that gold is an effective hedge for G-7 stocks, while silver and platinum are the weak hedge for G-7 stocks.…”

“…(2) Volatility modeling is an important prerequisite to ensure successful hedge ratio estimation. GARCH family is the most common method to describe volatility in the hedging modeling, which is limited to describing conditional variance [17] , [18] , [19] , [20] , [21] , [22] , [23] . However, conditional higher moments are frequently reported in financial assets [34] , [35] .…”

Diversification of the Islamic stock market, Bitcoin, and Bullions in response to the Russia-Ukraine conflict and the COVID-19 outbreak

“…[ 23 , 24 ], and [ 59 ] have provided evidence of the positive impact of precious metals on cryptocurrencies. [ 22 , 25 , 26 , 60 ], and [ 46 ] have found evidence of the positive impact of precious metals on Islamic stocks, especially during periods of economic uncertainty. These studies suggest that investors should consider diversifying their portfolios by including precious metals with cryptocurrencies or Islamic stocks to reduce overall risk.…”

“…Furthermore, researchers have evidenced Bitcoin as a profitable investment [ [18] , [19] , [20] , [21] ]. Studies have shown that gold and other precious metals can provide a hedge and safe haven against volatility in cryptocurrencies and Islamic stocks [ [22] , [23] , [24] , [25] , [26] , [27] ]. However, interestingly, none of these studies has explored the relationship between the Islamic stock market, Bullion, and Bitcoin.…”

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

“… 5 In order to provide a more focused review of the relevant literature on the safe haven role of considered assets, we concentrate on studies circumscribed to the COVID-19 pandemic period. With reference to other periods encompassing other crisis episodes, some of the following studies offer insights into the hedging benefits of investments involving crude oil ( Aloui et al, 2013 , Junttila et al, 2018 , Corbet et al, 2020a ), gold ( Baur and McDermott, 2010 , Agyei-Ampomah et al, 2014 , Mensi et al, 2018 , Talbi et al, 2021 ), cryptocurrencies ( Kristoufek, 2013 , Chowdhury, 2016 , Bouri et al, 2017a , Bouri et al, 2017b , Ji et al, 2020 ) SG assets ( Sadorsky, 2014 , Ferrer et al, 2018 , Elie et al, 2019 , Dutta et al, 2020 , Iglesias-Casal et al, 2020 , Umar et al, 2020 , Tareq et al, 2021 ) against diverse securities. Please note that although some studies on SRI are focused from the perspective of reducing the risk of investments in ESG assets by combining them with other assets instead of the other way round ( Elie et al, 2019 , Dutta et al, 2020 ), inferences from the dependence and correlation analyses are equally valid.…”