Oil-gold time varying nexus: A time-frequency analysis

This paper analyzes the time varying nexus for oil-goldpairwise by employing the dynamic conditional correlation generalized multivariate autoregressive conditional heteroscedasticity DCC-MGARCH model of Engle (2002) as well as the time-scale approach based on multi-resolution analysis. For this goal, we focus on three subsamples, before, during and after the 2008-2009 global financial crisis. Key findings are as follows. (i) Wavelet analysis is a splendid complement to analyze the nexus between oil and gold markets. (ii) Low nexus for oil-gold pairwise after the recent global financial crisis. (iii) Gold and oil moved in reverse direction in the mid-run and long-run horizons during the crisis. (iv) Thanks to wavelets for helping financial managers and investors to manage their investment risks and making decision strategies.