Does gold act as a hedge or a safe haven for stocks? A smooth transition approach

By J. Beckmann, Theo Berger, Robert L. Czudaj. 2014

403 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/5c6c6cfd8473eacc43efd9ddca6a1fe79a0abf02

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Citations in the corpus

How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, methodology): “Beckmann et al. (2015) adopted a novel approach to conduct their research; they included statistics from 18 countries and 5 regional indices.”
Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test (2016, neutral): “Introduction Much significant research has been done to study various facets of the link between gold returns and the returns of other asset classes in times of financial crisis and market jitters (Baur and McDermott 2010, Baur and Lucey 2010, Ciner et al. 2013, Beckmann et al. 2015, among others).”
Hedging Strategies of Green Assets against Dirty Energy Assets (2020, background): “Generally, there is a positive association between the level of inflation and crude oil prices [43], which can translate into an increase in the returns of the hedge portfolio.”
Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017, positive): “The importance of our econometric approach lies in its focus on the nonlinearities between the implied volatilities of commodities and stock indices (Beckmann et al., 2015).”
Reassessing the role of precious metals as safe havens–What colour is your haven and why? (2017, positive): “Gold as a safe haven has also been examined (see as examples Baur and Lucey (2010); Baur and McDermott (2010); Coudert and Raymond (2010) and Beckmann et al. (2015) with a general finding that it can act as such.”
Measuring the response of gold prices to uncertainty: An analysis beyond the mean (2018, neutral): “…and McDermott, 2010; Baur and Lucey, 2010; Wang et al., 2011; Miyazaki et al., 2012; Ciner et al. 2013; Mensi et al., 2013; Reboredo, 2013; Wang and Chueh, 2013; Arouri et al., 2015; Bampinas and Panagiotidi, 2015; Beckmann et al., 2015; Nguyen et al., 2016; Van Hoang et al., 2016, among others).”
Gold price dynamics and the role of uncertainty (2018, methodology): “The parameters of the t copula are estimated via a two-step maximum likelihood procedure as presented in Joe (1996) and also applied by Beckmann et al. (2016) in a different context.”
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (2020, neutral): “…risks (Baur and Lucey, 2010; Baur and McDermott, 2010; Reboredo, 2013a, 2013b; Agyei-Ampomah, Gounopolos, and Mazouz, 2014; Gürgün and Ünalmis, 2014; Beckmann, Berger, and Czudaj, 2015, 2019; Balcilar, Gupta, Pierdzioch, 2016; Bilgin, Gozgor, Lau, and Sheng, 2018; Bouoiyour, Selmi, and…”