Extreme risk spillover effects in world gold markets and the global financial crisis

[1]  Tezer Yelkenci,et al.  Volatility Linkages Among Gold Futures in Emerging Markets , 2016 .

[2]  Tālis J. Putniņš,et al.  Who Sets the Price of Gold? London or New York? , 2015 .

[3]  A. Rubia,et al.  Granger causality and systemic risk , 2015 .

[4]  U. Cherubini,et al.  RiskMetrics Technical Document , 2015 .

[5]  Limin Du,et al.  Extreme risk spillovers between crude oil and stock markets , 2015 .

[6]  B. Lucey,et al.  The Financial Economics of Gold – A Survey , 2015 .

[7]  Jungbin Hwang,et al.  Extreme Risk Spillover in Financial Markets: Evidence from the Recent Financial Crisis , 2015 .

[8]  Jacinta C. Nwachukwu,et al.  On the Efficiency of Global Gold Markets , 2015 .

[9]  Kin Keung Lai,et al.  Time-varying Granger causality tests for applications in global crude oil markets , 2014 .

[10]  B. Lucey,et al.  Gold markets around the world – who spills over what, to whom, when? , 2014 .

[11]  Chia‐Lin Chang,et al.  Dynamic price integration in the global gold market , 2013 .

[12]  Miguel A. Ferreira,et al.  Lending Relationships and the Effect of Bank Distress: Evidence from the 2007-2009 Financial Crisis , 2013 .

[13]  M. T. M. Garcia,et al.  Risk contagion in the north-western and southern European stock markets , 2013 .

[14]  Juan C. Reboredo,et al.  Is gold a safe haven or a hedge for the US dollar? Implications for risk management , 2013 .

[15]  Emilia Garcia-Appendini,et al.  Firms as liquidity providers: Evidence from the 2007–2008 financial crisis , 2013 .

[16]  Juan C. Reboredo,et al.  Is gold a hedge or safe haven against oil price movements , 2013 .

[17]  Jian Zhou,et al.  Extreme risk spillover among international REIT markets , 2013 .

[18]  B. Lucey,et al.  London or New York: where and when does the gold price originate? , 2012 .

[19]  Pornchai Chunhachinda,et al.  Information Transmission Among World Major Gold Futures Markets: Evidence from High Frequency Synchronous Trading Data , 2012 .

[20]  D. Baur Asymmetric Volatility in the Gold Market , 2012, The Journal of Alternative Investments.

[21]  Mark Joy,et al.  Gold and the US dollar: Hedge or haven? , 2011 .

[22]  B. Kumar,et al.  International Linkages of the Indian Commodity Futures Markets , 2011 .

[23]  Frederic S. Mishkin,et al.  Over the Cliff: From the Subprime to the Global Financial Crisis , 2010 .

[24]  Hangyong Lee,et al.  Testing for risk spillover between stock market and foreign exchange market in Korea , 2009 .

[25]  M. A. Thompson,et al.  Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies , 2009 .

[26]  R. Duchin,et al.  Costly External Finance, Corporate Investment, and the Subprime Mortgage Credit Crisis , 2009 .

[27]  Shouyang Wang,et al.  Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets , 2009 .

[28]  V. Acharya,et al.  The Financial Crisis of 2007‐2009: Causes and Remedies , 2009 .

[29]  Yi-Ming Wei,et al.  Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach , 2008 .

[30]  Chris Brooks,et al.  Introductory econometrics for finance. 2nd edition , 2008 .

[31]  Yongmiao Hong,et al.  An empirical study on information spillover effects between the Chinese copper futures market and spot market , 2008 .

[32]  Hui-Na Lin,et al.  The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM , 2008 .

[33]  Brian M. Lucey,et al.  Volatility in the gold futures market , 2007 .

[34]  Marc S. Paolella,et al.  Value-at-Risk Prediction: A Comparison of Alternative Strategies , 2005 .

[35]  X. Xu,et al.  Cross-market linkages between U.S. and Japanese precious metals futures trading , 2005 .

[36]  Chris Brooks Introductory Econometrics for Finance , 2002 .

[37]  Yongmiao Hong A test for volatility spillover with application to exchange rates , 2001 .

[38]  Upinder S. Dhillon,et al.  Volatility, information, and double versus walrasian auction pricing in US and Japanese futures markets , 1997 .

[39]  Yongmiao Hong Testing for independence between two covariance stationary time series , 1996 .

[40]  Lilian K. Ng,et al.  A causality-in-variance test and its application to financial market prices , 1996 .

[41]  Paul H. Kupiec,et al.  Techniques for Verifying the Accuracy of Risk Measurement Models , 1995 .

[42]  J. Zakoian Threshold heteroskedastic models , 1994 .

[43]  L. Glosten,et al.  On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .

[44]  A. Malliaris,et al.  The International Crash of October 1987: Causality Tests , 1992, Journal of Financial and Quantitative Analysis.

[45]  Daniel B. Nelson CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[46]  R. Laulajainen Gold price round the clock: Technical and fundamental issues , 1990 .

[47]  Richard Roll,et al.  The International Crash of October 1987 , 1988 .

[48]  Shie-Shien Yang,et al.  A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function , 1986 .

[49]  A. I. McLeod,et al.  DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS , 1983 .

[50]  L. Haugh Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach , 1976 .

[51]  R. Oaxaca Another Look at Tests of Equality between Sets of Coefficients in Two Linear Regressions , 1974 .

[52]  C. Granger Investigating causal relations by econometric models and cross-spectral methods , 1969 .

[53]  Peter F. CHRISTOFFERSENti EVALUATING INTERVAL FORECASTS , 2016 .

[54]  Taufiq Choudhry,et al.  Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests , 2015 .

[55]  Pushan Dutt International Review of Economics and Finance , 2015 .

[56]  Rong Li,et al.  Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns , 2014 .

[57]  Zha Jin-shui The Extreme Risk Spillover Effect between International and Domestic Oil Markets , 2007 .

[58]  H. Yongmiao Extreme Risk Spillover between Chinese Stock Market and International Stock Markets:Notation Misprint Corrections , 2004 .

[59]  Wouter den Haan,et al.  CAViaR : Conditional Autoregressive Value at Risk by Regression Quantiles , 1999 .

[60]  C. Granger Testing for causality: a personal viewpoint , 1980 .

[61]  D. Baur,et al.  Institute for International Integration Studies Is Gold a Safe Haven? International Evidence Is Gold a Safe Haven? International Evidence Is Gold a Safe Haven? International Evidence , 2022 .

[62]  B. Lucey,et al.  Institute for International Integration Studies Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold , 2022 .