|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|135239||2018||19 صفحه PDF||سفارش دهید||12344 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Physica A: Statistical Mechanics and its Applications, Volume 503, 1 August 2018, Pages 86-104
This paper analyzes the time varying nexus for oilâgoldpairwise by employing the dynamic conditional correlation generalized multivariate autoregressive conditional heteroscedasticity DCC-MGARCH model of Engle (2002) as well as the time-scale approach based on multi-resolution analysis. For this goal, we focus on three subsamples, before, during and after the 2008â2009 global financial crisis. Key findings are as follows. (i) Wavelet analysis is a splendid complement to analyze the nexus between oil and gold markets. (ii) Low nexus for oilâgold pairwise after the recent global financial crisis. (iii) Gold and oil moved in reverse direction in the mid-run and long-run horizons during the crisis. (iv) Thanks to wavelets for helping financial managers and investors to manage their investment risks and making decision strategies.