On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing

DOI10.1515/snde-2014-0060zbMath1506.62480OpenAlexW2317785757WikidataQ130489189 ScholiaQ130489189MaRDI QIDQ2687897

Theodore Panagiotidis, Georgios Bampinas

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0060

zbMATH Keywords

financial crisisoil pricesvolatility spilloversgold priceslinear and nonlinear Granger causalityrolling window causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries ⋮ The place of gold in the cross-market dependencies ⋮ The role of the threshold effect for the dynamics of futures and spot prices of energy commodities ⋮ Gold price dynamics and the role of uncertainty

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