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Autor
Wanat Stanisław (Cracow University of Economics, Poland / Wydział Finansów i Prawa), Śmiech Sławomir (Cracow University of Economics, Poland / Wydział Zarządzania), Papież Monika (Cracow University of Economics, Poland / Wydział Zarządzania)
Tytuł
In Search of Hedges and Safe Havens in Global Financial Markets
Źródło
Statistics in Transition, 2016, vol. 17, nr 3, s. 557-574, tab., rys., bibliogr. s. 573-574
Słowa kluczowe
Rynki finansowe, Korelacja, Metody statystyczne
Financial markets, Correlation, Statistical methods
Uwagi
summ., Materiały z konferencji Classification and data analysis - theory and applications 2015, Gdańsk, Supported by the grant No. 2012/07/B/HS4/00700 of the Polish National Science Centre
Abstrakt
The aim of the paper is to search for hedges and safe havens within three instrument classes: assets (represented by the S&P500 index), gold and oil prices, and dollar exchange rates. Weekly series of returns of all the instruments from the period January 1995 - June 2015 are analysed. The study is based on conditional correlations between the instruments in different market regimes obtained with the use of copula-DCC GARCH models. It is assumed that different market regimes will be identified by statistical clustering techniques; however, only conditional variances (without conditional covariances) will be taken into account. The reason for this assumption is connected with the fact that variances can be understood as market risk, and, as such, are a good indicator of market conditions. A considerable advantage of such an approach is the lack of need to determine the number of market regimes, as it is established by clustering quality measures. What is more, the methodology used in the paper makes it possible to treat the relations between instruments symmetrically. The results obtained in the study reveal that only dollar exchange rates can be treated as a (strong) hedge and a (strong) safe haven for other instruments, while gold and oil are a hedge for assets. (original abstract)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
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Bibliografia
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  3. BAUR, D. G., LUCEY, B. M., (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), pp. 217-229.
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  8. DOMAN, R., (2011). Zastosowanie kopuli w modelowaniu dynamiki zależności na rynkach finansowych [The use of copulas in modelling the dynamic dependence on the financial markets], Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu, Poznań.
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  10. ENGLE, R.F. AND SHEPPARD, K., (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.
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  19. PATTON, A. J., (2006). Modelling asymmetric exchange rate. International Economic Review, 47, pp. 527-556.
  20. PATTON, A. J., (2012). A review of copula models for economic time series. Journal of Multivariate Analysis, 110, pp. 4-18.
  21. REBOREDO, J. C., (2013a). Is gold a hedge or safe haven against oil price movements? Resources Policy, 38(2), pp. 130-137.
  22. REBOREDO, J. C., (2013b). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), pp. 2665-2676.
  23. SERBAN, M., BROCKWELL, A., LEHOCZKY, J., SRIVASTAVA, S., (2007). Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series. Journal of Time Series Analysis, 28, pp. 763-782.
  24. WALESIAK, M., DUDEK A., (2015). Searching for Optimal Clustering Procedure for a Data Set, package 'clusterSim', https://cran.r- project.org/web/packages/clusterSim.
  25. WANAT, S., (2012). Modele zależności w agregacji ryzyka ubezpieczyciela. [Dependence models in the aggregating of insurer risk], Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie, Kraków.
  26. WU, C. C., CHUNG, H., CHANG, Y. H., (2012). The economic value of co-movement between oil price and exchange rate using copula-based GARCH models. Energy Economics, 34, pp. 270-282.
  27. ZOLOTKO, M., OKHRIN, O., (2014). Modelling the general dependence between commodity forward curves. Energy Economics, 43, pp. 284-296.
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ISSN
1234-7655
Język
eng
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