Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach
We examine the hedging/safe-haven ability of gold, the US dollar, bonds, crude oil, and Bitcoin against stocks using the unconditional quantile regression (UQR). We reveal that hedging (safe-haven) effect generally decreases (increases) with the quantiles of asset returns and find an asymmetric flig...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2023-11-01
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| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440231208536 |