Corpus ID: 209515878

The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold

@article{Madani2019TheGO,
  title={The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold},
  author={Mohamed Arbi Madani and Zied Ftiti},
  journal={arXiv: Statistical Finance},
  year={2019}
}
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In revisiting the role of gold, our study proposes new insights into the literature. First, our empirical design relaxes the assumption of homogeneous investors in favour of agents with different horizons. Second, we develop a new measure of correlation based on the fractal approach, called the q… Expand
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