Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based

作者：

Highlights：

• The role of gold as a hedge or a safe haven has been examined by the extreme risk spillover effects.

• Gold can act as an effective safe haven against extreme stock and US dollar exchange rate movements.

• The global financial crisis can affect the safe haven role of gold.

摘要

•The role of gold as a hedge or a safe haven has been examined by the extreme risk spillover effects.•Gold can act as an effective safe haven against extreme stock and US dollar exchange rate movements.•The global financial crisis can affect the safe haven role of gold.

论文关键词：Extreme risk spillover,Value at Risk,Safe haven,Granger causality in risk,Global financial crisis

论文评审过程：Received 22 October 2018, Revised 23 December 2018, Accepted 24 December 2018, Available online 30 January 2019, Version of Record 21 November 2019.

论文官网地址：https://doi.org/10.1016/j.ijinfomgt.2018.12.013