期刊
FINANCE RESEARCH LETTERS
卷 23, 期 -, 页码 283-290出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2017.05.002
关键词
Dynamic correlations; Precious metals; Stock markets; Asymmetry; Long memory
A flexible modification of the DCC model that accounts for asymmetry and long memory in variance is proposed. This model is applied on precious metals and indexes of developed countries to revisit the flight-to-quality phenomenon. Market turmoil and shocks are covered by asset-specific variance models. I identify Gold and partly Silver as safe haven while this status seems to be dissipating in the recent years. Interestingly, Platinum shows signs of a surrogate safe haven. The practical difference between the standard DCC and the model proposed herein is significant, which stems from a more realistic variance modeling within the framework. (C) 2017 Elsevier Inc. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据