Matches in SemOpenAlex for { <https://semopenalex.org/work/W4200541489> ?p ?o ?g. }
- W4200541489 endingPage "105758" @default.
- W4200541489 startingPage "105758" @default.
- W4200541489 abstract "This paper examines the safe-haven and hedging potential of oil and gold against industrial metals and agricultural commodities using a novel approach of quantile-on-quantile regression (QQR). For empirical analysis, we use the data on these commodities from January 2000 to December 2018, which further splits up into two sub-periods based on the global financial crisis (GFC). The results from the time-varying correlation of oil (gold) with metals and agriculture commodities suggest that oil (gold) has a lower correlation with metals and agriculture in the pre-GFC period than post-GFC. Further, the QQR model for two time periods (pre-GFC and post-GFC) was used to examine whether oil (gold) serves as a hedge (safe-haven) during the two periods. We conclude that oil was a safe-haven for metals and agricultural commodities pre-GFC but lost that ability post-GFC. Finally, we analyze the hedge ratio and hedge effectiveness pre- and post-GFC and confirm that oil had higher hedge effectiveness than gold during the pre-GFC period." @default.
- W4200541489 created "2021-12-31" @default.
- W4200541489 creator A5001363360 @default.
- W4200541489 creator A5028464596 @default.
- W4200541489 creator A5039331964 @default.
- W4200541489 creator A5063231735 @default.
- W4200541489 creator A5091496195 @default.
- W4200541489 date "2022-01-01" @default.
- W4200541489 modified "2023-10-16" @default.
- W4200541489 title "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications" @default.
- W4200541489 cites W1507259579 @default.
- W4200541489 cites W1563286698 @default.
- W4200541489 cites W1671350945 @default.
- W4200541489 cites W1727659491 @default.
- W4200541489 cites W1966581359 @default.
- W4200541489 cites W1975578231 @default.
- W4200541489 cites W1986675181 @default.
- W4200541489 cites W1987335427 @default.
- W4200541489 cites W1988036721 @default.
- W4200541489 cites W1991446663 @default.
- W4200541489 cites W1992041523 @default.
- W4200541489 cites W2003517149 @default.
- W4200541489 cites W2004173611 @default.
- W4200541489 cites W2015699392 @default.
- W4200541489 cites W2024678400 @default.
- W4200541489 cites W2026576569 @default.
- W4200541489 cites W2029456970 @default.
- W4200541489 cites W2032191703 @default.
- W4200541489 cites W2035018726 @default.
- W4200541489 cites W2046932689 @default.
- W4200541489 cites W2051074140 @default.
- W4200541489 cites W2051095518 @default.
- W4200541489 cites W2054477007 @default.
- W4200541489 cites W2057091045 @default.
- W4200541489 cites W2061160212 @default.
- W4200541489 cites W2065589331 @default.
- W4200541489 cites W2079493819 @default.
- W4200541489 cites W2090459474 @default.
- W4200541489 cites W2092340563 @default.
- W4200541489 cites W2098027073 @default.
- W4200541489 cites W2106154564 @default.
- W4200541489 cites W2114407659 @default.
- W4200541489 cites W2118160287 @default.
- W4200541489 cites W2119971346 @default.
- W4200541489 cites W2161003095 @default.
- W4200541489 cites W2169665118 @default.
- W4200541489 cites W2191748751 @default.
- W4200541489 cites W2193644877 @default.
- W4200541489 cites W2218712285 @default.
- W4200541489 cites W2261663051 @default.
- W4200541489 cites W2284220794 @default.
- W4200541489 cites W2312460208 @default.
- W4200541489 cites W2329569283 @default.
- W4200541489 cites W2345296981 @default.
- W4200541489 cites W2346523875 @default.
- W4200541489 cites W2401337390 @default.
- W4200541489 cites W2462958506 @default.
- W4200541489 cites W2564328920 @default.
- W4200541489 cites W2569142933 @default.
- W4200541489 cites W2569407092 @default.
- W4200541489 cites W2610217333 @default.
- W4200541489 cites W2610916433 @default.
- W4200541489 cites W2614064114 @default.
- W4200541489 cites W2663960413 @default.
- W4200541489 cites W2754054743 @default.
- W4200541489 cites W2760551010 @default.
- W4200541489 cites W2766964816 @default.
- W4200541489 cites W2774821142 @default.
- W4200541489 cites W2794741712 @default.
- W4200541489 cites W2800456070 @default.
- W4200541489 cites W280833984 @default.
- W4200541489 cites W2902559832 @default.
- W4200541489 cites W2913904217 @default.
- W4200541489 cites W2946269583 @default.
- W4200541489 cites W2949335731 @default.
- W4200541489 cites W2952172341 @default.
- W4200541489 cites W2953895690 @default.
- W4200541489 cites W2963875464 @default.
- W4200541489 cites W2981668454 @default.
- W4200541489 cites W2988304112 @default.
- W4200541489 cites W3004231151 @default.
- W4200541489 cites W3004518895 @default.
- W4200541489 cites W3008190017 @default.
- W4200541489 cites W3011053811 @default.
- W4200541489 cites W3080366299 @default.
- W4200541489 cites W3083884250 @default.
- W4200541489 cites W3112519326 @default.
- W4200541489 cites W3121940608 @default.
- W4200541489 cites W3122493854 @default.
- W4200541489 cites W3122591535 @default.
- W4200541489 cites W3122842775 @default.
- W4200541489 cites W3123281029 @default.
- W4200541489 cites W3123303095 @default.
- W4200541489 cites W3123598957 @default.
- W4200541489 cites W3124242984 @default.
- W4200541489 cites W3124837614 @default.
- W4200541489 cites W3152136153 @default.
- W4200541489 cites W3162843599 @default.