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- W3135356100 abstract "This paper analyzes the correlation among volatility regimes, safe havens, asymmetric effects, contagions, and flights in the gold market for five considered countries during 2002–2018. Based on a two-state, quantile-based Markov-switching GJR-GARCH model, the safe-haven ability of gold against stocks and inverted asymmetric volatility is revealed to be associated with a high-volatility regime. Moreover, contagion (flight) generally occurs if, during a crisis period, the gold market is in the low (high) volatility regime. The results of this study highlight the importance of considering gold market volatility regimes in a study of the relative topics on financial asset allocation." @default.
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- W3135356100 date "2021-06-01" @default.
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- W3135356100 title "Volatility regime, inverted asymmetry, contagion, and flights in the gold market" @default.
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- W3135356100 doi "https://doi.org/10.1016/j.pacfin.2021.101522" @default.
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