The Structure and Degree of Dependence - A Quantile Regression Approach

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Do global factors impact BRICS stock markets? A quantile regression approach (2014, methodology): “This result is consistent with the role of gold as a safe haven in times of turbulent markets, and this evidence corroborates the findings of Baur and Lucey (2010) and Baur and McDermott (2010).”
Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016, background): “Baur [6] studied 600 European stocks and Dow Jones Stoxx 600 index (representing companies of various sizes across 18 European countries) with first-order QAR model.”
Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test (2016, background): “Another widely-studied approach is to use quantile regressions to inspect how the structure of dependence of gold returns on the returns of other asset classes varies across the entire conditional distrubtion of gold-price movements (Baur 2013, Zagaglia and Marzo 2013, among others).”