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The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market

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Academic year: 2020

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Figure

Table 1 reports the descriptive statistics of excess returns on gold and silver. Both mean returns  are close to zero and the excess return on silver is more volatile than that of gold
Table 3 presents the results of regressing excess returns on the lagged conditional correlations  (dcc)
Table A1.  Asymmetric DCC–GARCH estimation results.
Table A2. Quantile regression results with control variables.
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