Qian, Xinyi: Impact and hedging attribute of gold in the international financial market : with latest empirical approach and data. 2021
Inhalt
- Contents
- List of Figures
- List of Tables
- List of Abbreviations
- Introduction
- Gold Market Price Spillover between COMEX, LBMA and SGE
- Introduction
- Methods
- Data
- Result
- Unconditional full-sample spillover tables
- Conditional dynamic overall spillover rolling window plots
- Conditional directional return spillover dynamic rolling window plots
- Directional from return spillover
- Directional to return spillover
- Net return spillover
- Pairwise return spillover
- Conditional directional volatility spillover dynamic rolling window plots
- Conclusions
- Gold hedging against Exchange Rate
- Introduction
- Method
- Mean model: Autoregressive Distributed Lag (ADL)
- Variance model: integrated GARCH (iGARCH)
- Distributed quantile regression
- Data and descriptive statistics
- Empirical results and discussion
- Conclusion
- Gold hedging against Stock Market
- Introduction
- Data
- Method
- Estimation results
- Hedging position
- Conclusion
- Conclusion
- DCC-GARCH
- Bibliography
- Acknowledgements