Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach

We investigate gold’s role as a hedge or safe haven against oil price and currency movements across calm and extreme market conditions. For the empirical analysis, we extend the intraday multifractal correlation measure developed by Madani et al. (Bankers, Markets & Investors, 163:2–13, 2020 ) t...

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Bibliographic Details
Published in:	Annals of operations research Vol. 313; no. 1; pp. 367 - 400
Main Authors:	Madani, Mohamed Arbi, Ftiti, Zied
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.06.2022 Springer Springer Nature B.V
Subjects:	Analysis Asset allocation Business and Management Combinatorics Econometrics Economic aspects Empirical analysis Foreign exchange market Gold Hedging Hedging (Finance) Investments Operations research Operations Research/Decision Theory Original Research Petroleum Portfolio management Securities markets Sovereign debt Supply and demand Theory of Computation Time dependence Time series Tunisia Time scale Optimal portfolio Non-linearity Hedge ratio Intraday Multifractal
ISSN:	0254-5330, 1572-9338
Online Access:	Get full text
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