[10] Behmiri N. B., and Manera, M. (2015). The role of outliers and oil price shocks on volatility of metal prices. Resources Policy, 46(2), pp. 139–150.
[11] Bernhart, G., Hocht, S., Neugebauer, M., Neumann, M. and Zagst, R. (2011). Asset correlations in turbulent markets and the impact of different regimes on asset management. Asia-Pacific Journal of Operational Research, 28(1), pp. 1– 23.
- [12] Bildirici, M. E. and Turkmen, C. (2015). Nonlinear causality between oil and precious metals. Resources Policy, 46(2), pp. 202–211.
Paper not yet in RePEc: Add citation now
[13] Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch model. The Review of Economics and Statistics, 72(3), pp. 498-506. 92 Paolo Zagaglia
[14] Brandt, M. W., Goyal, A., Santa Clara, P. and Stroud, J. R. (2005). A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Review of Financial Studies, 18(2), pp. 831–873.
- [15] Brooks, S. P. and Gelman, A. (1998). General methods for monitoring convergence of iterative simulations. Journal of Computational and Graphical Statistics, 7(4), pp. 434–455.
Paper not yet in RePEc: Add citation now
[16] Buraschi, A., Porchia, P. and Trojani, F. (2010). Correlation risk and optimal portfolio choice. Journal of Finance, 65(1), pp. 393–420.
[17] Christoffersen, P. and Pan, X. (2018). Oil volatility risk and expected stock returns. Journal of Banking and Finance, 95, pp. 5–26.
- [18] Collin-Dufresne, P., Daniel, K., Moallemi, C. C. and Saglam, M. (2012). Strategic asset allocation with predictable returns and transaction costs. unpublished manuscript available at http://www.princeton.edu/~msaglam/dpc.pdf.
Paper not yet in RePEc: Add citation now
- [19] Della Corte, P., Sarno, L. and Tsiakas, I (2013). Volatility and Correlation Timing in Active Currency Management, in Handbook of Exchange Rates, Chapter 15, pp. 221–263. Wiley, London.
Paper not yet in RePEc: Add citation now
- [2] Alvarez, I., Niemi, J. and Simpson, M. (2014). Bayesian inference for a covariance matrix. unpublished manuscript available at https://arxiv.org/pdf/1408.4050.
Paper not yet in RePEc: Add citation now
[20] Ding, Z., Granger, C. W. J. and Engle, R. R. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1, pp. 83–106.
[21] Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), pp. 339–350.
[22] Engle, R. F. and Kroner, K. (1995). Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11, pp. 122–150.
[23] Engle, R. F. and Sheppard, K. (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. NBER Working Paper 8554.
[25] Ferrer, R., Shahzad, S. J. H., Lopez, R. and Jareno, F. (2018). Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. Energy Economics, 76, pp. 1–20.
[26] Fioruci, J. A., Ehlers, R. S. and Filho, M. G. A. (2014). Bayesian multivariate garch models with dynamic correlations and asymmetric error distributions. Journal of Applied Statistics, 41(2), pp. 320–331.
[27] Fleming, J., Kirby, C. and Ostdiek, B. (2001). The economic value of volatility timing. Journal of Finance, 56:329–352, 2001.
- [28] Geweke, J. F. (2005). Contemporary Bayesian Econometrics and Statistics. John Wiley and Sons.
Paper not yet in RePEc: Add citation now
- [29] Ha, J., Kose, M. A., Ohnsorge, F. and Yilmazkuday, H. (2024). What explains global inflation. IMF Economic Review. Stocks, Gold and Crude Oil: How Valuable are Volatility and Correlation Timing? 93
Paper not yet in RePEc: Add citation now
- [3] Anderson, T. W., and Darling, D. A. (1952). Asymptotic theory of certain goodness-of-fit criteria based on stochastic processes. Annals of Mathematical Statistics, 23.
Paper not yet in RePEc: Add citation now
[30] Hammoudeh, S. and Yuan, Y. (2008). Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), pp. 606–620.
[31] Han, Y. (2006). Asset allocation with a high-dimensional latent factor stochastic volatility model. Review of Financial Studies, 19(1), pp. 237–271.
- [32] Jain, A. and Ghosh, S. (2013). Dynamics of global oil prices, exchange rate and precious metal prices in India. Resources Policy, 38(1), pp. 88–93.
Paper not yet in RePEc: Add citation now
[33] Jondeau, E. and Rockinger, M. (2006). The economic value of distributional timing. unpublished manuscript available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=963288.
[34] Kandel, S. and Stambaugh, R. F. (1991). Asset returns and intertemporal preference. Journal of Monetary Economics, 27(1), pp. 39–71.
[35] Kandel, S. and Stambaugh, R. F. (1996). On the predictability of stock returns: An asset allocation perspective. Journal of Finance, 51(2), pp. 385-424.
[36] Kolodziej, M., Kaufmann, R. K., Kulatilaka, N., Bicchetti, D. and Maystre, N. (2014). Crude oil: Commodity or financial asset? Energy Economics, 46(1), pp. 216–223.
- [37] Kumar, S. (2017). On the nonlinear relation between crude oil and gold. Resources Policy, 51, pp. 219–224.
Paper not yet in RePEc: Add citation now
- [39] Mehra, R. and Prescott, E. C. (1985). The equity premium: A puzzle. Journal of Monetary Economics, 15(2), pp. 145–161.
Paper not yet in RePEc: Add citation now
- [4] Avramov, D. (2002). Stock return predictability and model uncertainty. Journal of Financial Economics, 64(3), pp. 423–458.
Paper not yet in RePEc: Add citation now
[40] Mensi, W., Ziadat, S. A., Al Rababa’a, A. R., Vo, X. V. and Kang, S. H. (2024). Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. The Quarterly Review of Economics and Finance, 95(C), pp. 1–17.
- [41] Rast, P., Martin, S., Liu, S. and Williams, D. (2022). A new frontier for studying within-person variability: Bayesian multivariate generalized autoregressive conditional heteroskedasticity models. Psychol Methods, 27(5), pp. 856-873.
Paper not yet in RePEc: Add citation now
- [42] Ravazzolo, F. and Lombardi, M. (2016). On the correlation between commodity and equity returns: Implications for portfolio allocation. Journal of Commodity Markets, 2(1), pp. 45–57.
Paper not yet in RePEc: Add citation now
- [43] Reboredo, J. C. (2013). Is gold a safe haven or a hedge for the us dollar? implications for risk management. Journal of Banking and Finance, 37(3), pp. 2665–2676.
Paper not yet in RePEc: Add citation now
[44] Sari, R., Hammoudeh, S. and Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), pp. 351– 362.
[45] Spiegelhalter, D. J., Best, N. G., Carlin, B. P. and van der Linde, A. (2002). Bayesian measures of model complexity and fit. Journal of Royal Statistical Society, Series B, 64(4), pp. 583–639. 94 Paolo Zagaglia
[46] West, K. D., Edison, H. J. and Cho, D. (1993). A utility-based comparison of some models of exchange rate volatility. Journal of International Economics, 35(1-2), pp. 23–45.
[47] Zhang, C. and Tu, X. (2016). The effect of global oil price shocks on china’s metal markets. Energy Policy, 90, pp. 131–139.
[5] Barberis, N. (2000). Investing for the long run when returns are predictable. Journal of Finance, 55(1), pp. 225–264.
- [6] Bates, J. M. and Granger, C. W. J. (1969). The combination of forecasts. Operations Research Quarterly, 20(4), pp. 451–468.
Paper not yet in RePEc: Add citation now
[7] Baur, D. G. and 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.
- [8] Bauwens, L., Lubrano, M. and Richard, J. F. (1999). Bayesian Inference in Dynamic Econometric Models. Oxford University Press.
Paper not yet in RePEc: Add citation now
[9] Bedoui, R., Braeik, S., Goutte, S. and Guesmi, K. (2018). On the study of conditional dependence structure between oil, gold and USD exchange rates. International Review of Financial Analysis, 59:134–146.