| dc.description.abstract | This thesis extends on the work of Triki & Maatoug, (2021) and investigates the
relationship between selected commodities and indices, in the presence of
geopolitical tension, represented by the index of Caldara & Iacoviello (2022). By
utilizing different multivariate regression approaches, namely the DCC-GARCH
and Copula-GARCH, we examine the relationships both from an economical and
statistical standpoint. The empirical results suggest that the S&P 500 correlates less
with gold during periods of lowered tension, and conversely higher in the presence
of higher tension. This further indicates gold as a good diversifier and safe haven
for the S&P 500. We are not, however, able to find strong evidence nor patterns
that allude to the same for oil and OBX, but evidence of oil working as a hedge for
OBX is provided. | en_US |
