User profiles for Dirk G. Baur
Dirk BaurProfessor of Finance, University of Western Australia - Business School Verified email at uwa.edu.au Cited by 12918 |
Is gold a safe haven? International evidence
DG Baur, TK McDermott - Journal of Banking & Finance, 2010 - Elsevier
The aim of this paper is to examine the role of gold in the global financial system. We test
the hypothesis that gold represents a safe haven against stocks of major emerging and …
the hypothesis that gold represents a safe haven against stocks of major emerging and …
Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold
Is gold a hedge, defined as a security that is uncorrelated with stocks or bonds on average,
or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a …
or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a …
Bitcoin: Medium of exchange or speculative assets?
Bitcoin is defined as digital money within a decentralized peer-to-peer payment network. It
is a hybrid between fiat currency and commodity currency without intrinsic value and …
is a hybrid between fiat currency and commodity currency without intrinsic value and …
Bitcoin, gold and the US dollar–A replication and extension
… o l d F u t u r e t − 1 + α 8 G o l d C a s h t − 1 + ɛ t (2) σ t 2 = exp ( λ 0 + λ 1 F e d t − 1 + λ 2 U
… o l d F u t u r e t − 1 + λ 6 G o l d C a s h t − 1 ) + α ɛ t − 1 2 + β σ t − 1 2 (3) Δ l n p r i c e t = α 0 …
… o l d F u t u r e t − 1 + λ 6 G o l d C a s h t − 1 ) + α ɛ t − 1 2 + β σ t − 1 2 (3) Δ l n p r i c e t = α 0 …
The financial economics of gold—A survey
We review the literature on gold as an investment. We summarize a wide variety of literature,
including the papers in this special issue of International Review of Financial Analysis to …
including the papers in this special issue of International Review of Financial Analysis to …
Financial contagion and the real economy
DG Baur - Journal of banking & finance, 2012 - Elsevier
This paper studies the spread of the Global Financial Crisis of 2007–2009 from the financial
sector to the real economy by examining ten sectors in 25 major developed and emerging …
sector to the real economy by examining ten sectors in 25 major developed and emerging …
Flights and contagion—An empirical analysis of stock–bond correlations
This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose
a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and …
a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and …
Asymmetric volatility in cryptocurrencies
This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and
reports a very different asymmetry compared to equity markets: positive shocks increase the …
reports a very different asymmetry compared to equity markets: positive shocks increase the …
[HTML][HTML] The volatility of Bitcoin and its role as a medium of exchange and a store of value
Bitcoin is designed as a peer-to-peer cash system. To work as a currency, it must be stable
or be backed by a government. In this paper, we show that the volatility of Bitcoin prices is …
or be backed by a government. In this paper, we show that the volatility of Bitcoin prices is …
Hedging geopolitical risk with precious metals
We analyse the relationship between geopolitical risk and asset prices and show that geopolitical
risk is distinct from existing measures of economic, financial, and political risk and that …
risk is distinct from existing measures of economic, financial, and political risk and that …