Asymmetric Volatility in the Gold Market

By Dirk G. Baur. The Journal of Alternative Investments, 2012

154 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1655e03bebcb4faae6367885cc572b409a2f56b3

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Citations in the corpus

How stable are stablecoins? (2021, unknown): “BAUR, D. G. (2012): “Asymmetric volatility in the gold market,” The Journal of Alternative Investments, 14, 26–38. BAUR, D. G. AND L. T. HOANG (2020): “A Crypto Safe Haven against Bitcoin,” Finance Research Letters, 101431. CORBET, S., B. LUCEY, M. PEAT, AND S. VIGNE (2018): “Bitcoin Futures - What ”
On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017, unknown): “Baur (2012) shows that the volatility of gold returns, contrary to equities, reacts inversely to negative shocks (i.e., positive shocks generate more volatility than negative shocks of the same magnitude).”
Dynamic spillovers between commodity and currency markets (2015, background): “…an unanticipated increase in the price of gold increases uncertainty in the gold market more than an unanticipated decrease; additionally, an unanticipated increase in the price of gold can be interpreted as a signal of future adverse conditions and uncertainty in other asset markets (Baur, 2012).”
Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models (2020, unknown): “An inverse leverage effect is considered as a prominent feature of Gold (see, e.g., Baur, 2012).”
The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015, background): “…of gold for currency hedging and trading, volatility of gold price may lead to negative consequences in financial markets, because an increase in the gold price volatility lead to an unsafe investment condition, while lower gold price volatility lead to safe investment condition (Baur, 2012).”
Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests (2015, background): “Baur and McDermott (2010), Chan et al. (2011), Coudert and Raymond (2011), Miyazaki et al. (2012), Miyazaki and Hamori (2013), Chen and Lin (2014), Emmrich and McGroarty (2013), and Tuysuz (2013) provided empirical evidence in support for the property of gold as a safe haven during the financial cra”