Measuring the response of gold prices to uncertainty: An analysis beyond the mean
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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