The estimation results show that the multivariate GAS method well captures the volatility persistence and nonlinear interaction effects between the crude oil and gold markets. In addition, we compare the forecasting performance of the GAS with the classical Dynamic Conditional Correlation Generalized Auto-...
Crude oil is quoted in U.S. dollars (USD). Countries that import oil pay for it in the greenback. Similarly, those that export the commodity receive payment in USD. This system dates back to the early 1970s after the collapse of theBretton Woodsgold standard. This period saw the rise o...
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Correlations between the world's most heavily traded commodities and currency pairs are common. For example, the Canadian dollar (CAD) is correlated tooil pricesdue to exporting, while Japan is susceptible to oil prices because it imports most of its oil. Similarly, Australia (AUD) and New Ze...
oil, whereas they are positively associated with gold. There is a bidirectional volatility linkage between climate bonds and the three indexes under study, whereas return linkages are marginal. The hedge ratio is positive for bond-gold, whereas it switches between positive and negative states for ...
“We generally have market headwinds across pretty much all macro. Stocks, gold, oil, crypto, all had a pretty rough week,” Chris Kline, chief operating officer and co-founder of Bitcoin IRAtoldMW in an interview. “There’s a general understanding that the free money party may be coming...
The origins of correlations between gold and forex are many. Gold is seen as an alternative to currency. It is seen as a safe haven in times of uncertainty. Some central banks are adding to their gold reserves. It benefits from near-zero interest rate levels. Lastly, it is viewed as an...
Conditional Correlations between Stock Index, Investment Grade Yield, High Yield and Commodities (Gold and Oil) during Stable and Crisis Periods. We analyzed the conditional correlation between the returns of five assets (S&P 500, investment grade bond, high-yield bond, crude oil and gold). The...
As China’s economy and the U.S. economy have shown a definite interaction, there is considerable interest in studying the correlation between the Chinese stock market and the US financial markets. This paper uses an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH to investigate the correlat...
The surfaces ultrastructure of nanomolecules, e.g., NCT and SWE/NCT, were elucidated with SEM imaging “Scanning Electron Microscopy; JEOL JSM- IT510, Tokyo, Japan”, after coating samples with gold/palladium. The size/charge of nanocomposite particles was further judged through the DLS ...