Measuring the response of gold prices to uncertainty: An analysis beyond the mean
Sign Up to like & getrecommendations! Published in 2018 at "Economic Modelling"
DOI: 10.1016/j.econmod.2018.06.010
Abstract: This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty… read more here.
Keywords: gold prices; uncertainty; measuring response; gold ... See more keywords
Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory
Sign Up to like & getrecommendations! Published in 2021 at "Mathematical Problems in Engineering"
DOI: 10.1155/2021/2704142
Abstract: Extreme value theory (EVT) is useful for modeling the impact of crashes or situations of extreme stress on investor portfolios. EVT is mostly utilized in financial modeling, risk management, insurance, and hydrology. The price of… read more here.
Keywords: risk; extreme value; gold prices; value ... See more keywords