A quantile regression analysis of flights-to-safety with implied volatilities

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dc.contributor.advisor
dc.contributor.author Troster, Victor
dc.contributor.author Bouri, Elie
dc.contributor.author Roubaud, David
dc.date.accessioned 2020-02-12T12:48:14Z
dc.identifier.uri http://hdl.handle.net/11201/150876
dc.description.abstract [eng] In this paper, we perform a quantile regression analysis of flights-to-safety with the implied market volatilities of stock, gold, gold-mining, and silver. We verify whether flights-to-safety from US equities to gold are significant under different volatility conditions. We test for linear and nonlinear Granger-causality in quantiles. We find unidirectional causality running from the volatility of stock market to the market volatilities of gold, gold-mining, and silver. Besides, there is no causality between gold and silver market volatilities. We also find evidence of unidirectional causality from the market volatilities of stock, gold, and silver to the gold-mining volatility in lower- and upper-tail quantiles. Therefore, gold-mining stocks act as a good substitute for gold, coupled with negative return correlations between these two assets. Overall, our results have important implications for adopting optimal hedging and investing strategies.
dc.format application/pdf
dc.relation.isformatof https://doi.org/10.1016/j.resourpol.2018.10.004
dc.relation.ispartof Resources Policy, 2019, vol. 62, p. 482-495
dc.rights , 2019
dc.subject.classification 33 - Economia
dc.subject.other 33 - Economics. Economic science
dc.title A quantile regression analysis of flights-to-safety with implied volatilities
dc.type info:eu-repo/semantics/article
dc.date.updated 2020-02-12T12:48:14Z
dc.date.embargoEndDate info:eu-repo/date/embargoEnd/2026-12-31
dc.embargo 2026-12-31
dc.subject.keywords Flight-to-Safety
dc.subject.keywords VIX
dc.subject.keywords Implied volatilities
dc.subject.keywords Gold
dc.subject.keywords Granger-causality
dc.rights.accessRights info:eu-repo/semantics/embargoedAccess
dc.identifier.doi https://doi.org/10.1016/j.resourpol.2018.10.004


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