The place of gold in the cross-market dependencies

DOI10.1515/SNDE-2015-0017OpenAlexW2322318531MaRDI QIDQ2691683

Aviral Kumar Tiwari, Sofiane Aboura, Julien Chevallier, Rania Jammazi

Publication date: 30 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-2015-0017

zbMATH Keywords

financial marketsMarkov-switchingcommoditiesgoldBEKKmulti-asset portfolio management

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Autoregressive conditional heteroskedasticity and changes in regime
• Heterogeneous expectations in the gold market: specification and estimation
• On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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