{"id":"https://openalex.org/W2935123376","doi":"https://doi.org/10.1016/j.resourpol.2019.02.015","title":"Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria","display_name":"Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria","publication_year":2019,"publication_date":"2019-04-06","ids":{"openalex":"https://openalex.org/W2935123376","doi":"https://doi.org/10.1016/j.resourpol.2019.02.015","mag":"2935123376"},"language":"en","primary_location":{"id":"doi:10.1016/j.resourpol.2019.02.015","doi":"https://doi.org/10.1016/j.resourpol.2019.02.015","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2019.02.015","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources Policy","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5001035287","display_name":"Adeolu Olusegun Adewuyi","orcid":"https://orcid.org/0000-0002-2060-2696","observed_orcids":["https://orcid.org/0000-0002-2060-2696"]},"institutions":[{"id":"https://openalex.org/I181631907","display_name":"University of Ibadan","ror":"https://ror.org/03wx2rr30","country_code":"NG","type":"education","lineage":["https://openalex.org/I181631907"]}],"countries":["NG"],"is_corresponding":true,"raw_author_name":"Adeolu O. Adewuyi","raw_affiliation_strings":["Department of Economics, University of Ibadan, School of Business, University of Ibadan, Ibadan, Oyo state, Nigeria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Ibadan, School of Business, University of Ibadan, Ibadan, Oyo state, Nigeria","institution_ids":["https://openalex.org/I181631907"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5062823104","display_name":"Olabanji  Benjamin Awodumi","orcid":"https://orcid.org/0000-0002-8152-2796","observed_orcids":["https://orcid.org/0000-0002-8152-2796"]},"institutions":[{"id":"https://openalex.org/I181631907","display_name":"University of Ibadan","ror":"https://ror.org/03wx2rr30","country_code":"NG","type":"education","lineage":["https://openalex.org/I181631907"]}],"countries":["NG"],"is_corresponding":false,"raw_author_name":"Olabanji B. Awodumi","raw_affiliation_strings":["Department of Economics, University of Ibadan, School of Business, University of Ibadan, Ibadan, Oyo state, Nigeria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Ibadan, School of Business, University of Ibadan, Ibadan, Oyo state, Nigeria","institution_ids":["https://openalex.org/I181631907"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069729950","display_name":"Temitope Titus Abodunde","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I181631907","display_name":"University of Ibadan","ror":"https://ror.org/03wx2rr30","country_code":"NG","type":"education","lineage":["https://openalex.org/I181631907"]}],"countries":["NG"],"is_corresponding":false,"raw_author_name":"Temitope T. Abodunde","raw_affiliation_strings":["Department of Economics, University of Ibadan, School of Business, University of Ibadan, Ibadan, Oyo state, Nigeria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Ibadan, School of Business, University of Ibadan, Ibadan, Oyo state, Nigeria","institution_ids":["https://openalex.org/I181631907"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5001035287"],"corresponding_institution_ids":["https://openalex.org/I181631907"],"apc_list":{"value":1300,"currency":"USD","value_usd":1300},"apc_paid":null,"fwci":8.3719,"has_fulltext":false,"cited_by_count":49,"citation_normalized_percentile":{"value":0.97469898,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":"61","issue":null,"first_page":"348","last_page":"362"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.6967999935150146,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.6967999935150146,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.3003000020980835,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0007999999797903001,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/gold","display_name":"gold","score":0.43700000643730164},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.7900000214576721},{"id":"https://openalex.org/keywords/quantile-regression","display_name":"quantile regression","score":0.9869999885559082},{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.9229999780654907},{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.8650000095367432},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.7929999828338623},{"id":"https://openalex.org/keywords/risk-adjusted-performance","display_name":"risk-adjusted performance","score":0.7580000162124634},{"id":"https://openalex.org/keywords/south-africa","display_name":"South Africa","score":0.9049999713897705},{"id":"https://openalex.org/keywords/nigeria","display_name":"Nigeria","score":1.0}],"concepts":[{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.7381377816200256},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6460472941398621},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6435640454292297},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6308157444000244},{"id":"https://openalex.org/C11039479","wikidata":"https://www.wikidata.org/wiki/Q791975","display_name":"Gold as an investment","level":2,"score":0.6162569522857666},{"id":"https://openalex.org/C63817138","wikidata":"https://www.wikidata.org/wiki/Q3455889","display_name":"Quantile regression","level":2,"score":0.5691575407981873},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5521017909049988},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5445197224617004},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.53005450963974},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5248608589172363},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.17744308710098267},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.13730773329734802},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.07847973704338074},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.resourpol.2019.02.015","doi":"https://doi.org/10.1016/j.resourpol.2019.02.015","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2019.02.015","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources Policy","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jrpoli:v:61:y:2019:i:c:p:348-362","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0301420718305506","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":60,"referenced_works":["https://openalex.org/W263913495","https://openalex.org/W745024300","https://openalex.org/W1064328543","https://openalex.org/W1526223504","https://openalex.org/W1587980782","https://openalex.org/W1821315764","https://openalex.org/W1845729255","https://openalex.org/W1885612876","https://openalex.org/W1959853130","https://openalex.org/W1976658031","https://openalex.org/W1979262809","https://openalex.org/W1987335427","https://openalex.org/W1991927132","https://openalex.org/W1992041523","https://openalex.org/W1994616534","https://openalex.org/W2001435522","https://openalex.org/W2003118606","https://openalex.org/W2010681793","https://openalex.org/W2014673962","https://openalex.org/W2015046361","https://openalex.org/W2029642703","https://openalex.org/W2031412503","https://openalex.org/W2034539108","https://openalex.org/W2039734130","https://openalex.org/W2040247608","https://openalex.org/W2049239673","https://openalex.org/W2054181782","https://openalex.org/W2060682855","https://openalex.org/W2061960194","https://openalex.org/W2062229217","https://openalex.org/W2066281896","https://openalex.org/W2070338492","https://openalex.org/W2090134670","https://openalex.org/W2090373608","https://openalex.org/W2090721684","https://openalex.org/W2114407659","https://openalex.org/W2131375261","https://openalex.org/W2143053136","https://openalex.org/W2187808597","https://openalex.org/W2191748751","https://openalex.org/W2196486546","https://openalex.org/W2217918790","https://openalex.org/W2302218295","https://openalex.org/W2323518490","https://openalex.org/W2347034669","https://openalex.org/W2466533628","https://openalex.org/W2477444904","https://openalex.org/W2551769064","https://openalex.org/W2595171650","https://openalex.org/W2595639289","https://openalex.org/W2607961204","https://openalex.org/W2619521170","https://openalex.org/W2622356861","https://openalex.org/W2625307600","https://openalex.org/W2795413297","https://openalex.org/W3121940608","https://openalex.org/W3122493854","https://openalex.org/W3123598957","https://openalex.org/W4232474910","https://openalex.org/W4241653265"],"related_works":["https://openalex.org/W3027950346","https://openalex.org/W7167926394","https://openalex.org/W3036768335","https://openalex.org/W2908075454","https://openalex.org/W4319264053","https://openalex.org/W1994616534","https://openalex.org/W7111261870","https://openalex.org/W2323518490","https://openalex.org/W2883995409","https://openalex.org/W2003118606"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":11},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":13},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2019-04-11T00:00:00"}