Dynamic correlation of precious metals and flight-to-quality in developed markets

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)

Abstract

A flexible modification of the DCC model that accounts for asymmetry and long memory in variance is proposed. This model is applied on precious metals and indexes of developed countries to revisit the flight-to-quality phenomenon. Market turmoil and shocks are covered by asset-specific variance models. I identify Gold and partly Silver as safe haven while this status seems to be dissipating in the recent years. Interestingly, Platinum shows signs of a surrogate safe haven. The practical difference between the standard DCC and the model proposed herein is significant, which stems from a more realistic variance modeling within the framework.
Original languageEnglish
Pages (from-to)283-290
JournalFinance Research Letters
Volume23
Early online date10 May 2017
DOIs
Publication statusPublished - 01 Nov 2017

Keywords

  • Asymmetry
  • Dynamic correlations
  • Long memory
  • Precious metals
  • Stock markets

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