Dirk G. Baur

University of Western Australia - Business School

School of Business

35 Stirling Highway

Crawley, Western Australia 6009

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

60

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CITATIONS
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105

Scholarly Papers (60)

Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold

Number of pages: 29 Posted: 19 Dec 2006 Last Revised: 01 Sep 2015
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 3,810 (1,633)
Citation 27

Abstract:

safe haven, hedge, hedging, gold, portfolio, stock market, bond market, stock-bond relationship

Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Financial Review, Vol. 45, Issue 2, pp. 217-229, May 2010
Number of pages: 13 Posted: 12 Apr 2010
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 2 (540,468)
Citation 27

Abstract:

2.

Is Gold a Safe Haven? International Evidence

Number of pages: 35 Posted: 08 Dec 2009
Dirk G. Baur and Thomas K. J. McDermott
University of Western Australia - Business School and University College Cork
Downloads 1,132 (10,243)
Citation 16

Abstract:

gold, safe haven, financial markets, uncertainty

3.

The Seasonality of Gold - The Autumn Effect

Number of pages: 22 Posted: 23 Jan 2012 Last Revised: 09 Oct 2012
Dirk G. Baur
University of Western Australia - Business School
Downloads 1,009 (13,977)

Abstract:

seasonality, anomaly, gold, silver, hedge, safe haven

4.

Asymmetric Volatility in the Gold Market

Number of pages: 29 Posted: 22 Dec 2009 Last Revised: 04 Apr 2011
Dirk G. Baur
University of Western Australia - Business School
Downloads 827 (16,051)
Citation 4

Abstract:

gold, commodities, volatility asymmetry, leverage effect, volatility feedback effect, uncertainty

5.

The Effect of Credit Risk Transfer on Financial Stability

EUR Working Paper No. 21521 EN
Number of pages: 24 Posted: 08 Feb 2006
Dirk G. Baur and Elisabeth Joossens
University of Western Australia - Business School and Joint Research Centre
Downloads 815 (20,379)
Citation 4

Abstract:

CDOs, CDS, Systemic risk, financial stability, securitization, economic capital

6.

Does the Mobility of Football Players Influence the Success of the National Team?

IIIS Discussion Paper No. 217
Number of pages: 26 Posted: 18 Apr 2007 Last Revised: 20 Aug 2008
Dirk G. Baur and Sibylle Lehmann
University of Western Australia - Business School and Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Research on Collective Goods
Downloads 618 (24,581)
Citation 3

Abstract:

Football, International Trade, Transfer market

7.

What is Co-movement?

EUR Working Paper No. 20759 EN
Number of pages: 28 Posted: 01 Aug 2004
Dirk G. Baur
University of Western Australia - Business School
Downloads 613 (25,806)
Citation 2

Abstract:

Co-movement, copula, tail dependence, Multinomial Logit Model, Multivariate GARCH

8.

The Benefits of Financial Markets: A Case Study of European Football Clubs

Number of pages: 20 Posted: 27 Jan 2009 Last Revised: 02 Feb 2009
Dirk G. Baur and Conor McKeating
University of Western Australia - Business School and Dublin City University
Downloads 591 (26,936)
Citation 1

Abstract:

football, public markets, IPO

9.

Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations

IIIS Discussion Paper No. 122
Number of pages: 27 Posted: 02 Mar 2006 Last Revised: 14 Jul 2009
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 522 (36,911)
Citation 8

Abstract:

flight-to-quality, flight-from-quality, cross-asset contagion, cross-country contagion, multivariate GARCH, panel regression

10.

Integration and Competition in Securities Trading, Clearing and Settlement

Number of pages: 23 Posted: 23 Mar 2006
Dirk G. Baur
University of Western Australia - Business School
Downloads 440 (48,938)
Citation 1

Abstract:

clearing and settlement, vertical integration, horizontal integration, consolidation, competition

11.

Speculative Trading in the Gold Market

International Review of Financial Analysis, Vol. 39, May 2015
Number of pages: 27 Posted: 25 Oct 2012 Last Revised: 23 Sep 2015
Dirk G. Baur and Kristoffer J. Glover
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 438 (44,744)

Abstract:

speculation, gold, bubble, heterogeneous agents, chartists, explosive process

12.

A Flexible Dynamic Correlation Model

Number of pages: 36 Posted: 25 Feb 2003
Dirk G. Baur
University of Western Australia - Business School
Downloads 409 (53,726)
Citation 2

Abstract:

Multivariate GARCH, BEKK, Covariance Models,

13.

The Risk of Beta – Investor Learning and Prospect Theory

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 40 Posted: 15 Jan 2010 Last Revised: 14 Mar 2010
Dirk G. Baur and Niels Schulze
University of Western Australia - Business School and Deutsche Bundesbank - Financial Stability Department
Downloads 396 (51,001)

Abstract:

Systematic risk, quantile regression, investor learning, herding, prospect theory, correlation asymmetry, asset pricing

14.

Exchange-Traded Funds on Gold - A Free Lunch?

FIRN Research Paper
Number of pages: 23 Posted: 25 Jul 2013 Last Revised: 05 Aug 2013
Dirk G. Baur
University of Western Australia - Business School
Downloads 392 (45,340)

Abstract:

exchange-traded funds (ETFs), physical ETFs, synthetic ETFs, gold, financialization

15.

Gold - Fundamental Drivers and Asset Allocation

Number of pages: 50 Posted: 01 Apr 2013
Dirk G. Baur
University of Western Australia - Business School
Downloads 381 (46,708)

Abstract:

gold, fundamental drivers, risk factors, gold in asset allocation, gold standard

16.

Stock Return Autocorrelations Revisited: A Quantile Regression Approach

Journal of Empirical Finance, Vol. 19, Issue 2, pp. 251-265, March 2012
Number of pages: 25 Posted: 20 Dec 2011 Last Revised: 09 Oct 2012
Dirk G. Baur, Thomas Dimpfl and Robert Jung
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute of Economics
Downloads 381 (53,062)

Abstract:

stock return distribution, quantile autoregression, overreaction and underreaction

17.

Coexceedances in Financial Markets - A Quantile Regression Analysis of Contagion

University of Tuebingen Economics Discussion Paper No. 253
Number of pages: 23 Posted: 17 Nov 2003
Dirk G. Baur and Niels Schulze
University of Western Australia - Business School and Deutsche Bundesbank - Financial Stability Department
Downloads 355 (63,387)
Citation 9

Abstract:

Financial Crises, Contagion, Coexceedances, Quantile Regression

18.

Global Sensitivity Analysis for Latent Factor Credit Risk Models

Number of pages: 29 Posted: 03 Jan 2005
University of Western Australia - Business School, European Commission Joint Research Center and Europoean Commission - Joint Reserach Centre
Downloads 293 (77,583)

Abstract:

Credit risk model, latent factor model, copula, global sensitivity analysis

19.

Central Banks and Gold

FIRN Research Paper
Number of pages: 33 Posted: 17 Sep 2013 Last Revised: 10 Nov 2016
Dirk G. Baur
University of Western Australia - Business School
Downloads 286 (15,469)

Abstract:

gold, manipulation, central banks, gold lending, gold carry trade

20.

Financial Stability and Extreme Market Conditions

European Communities Working Paper No. 22174
Number of pages: 15 Posted: 01 Jun 2006
Niels Schulze and Dirk G. Baur
Deutsche Bundesbank - Financial Stability Department and University of Western Australia - Business School
Downloads 283 (81,813)

Abstract:

Financial stability, Systemic risk, Contagion, Quantile regression

21.

Stock-Bond Co-Movements and Cross-Country Linkages

IIIS Discussion Paper No. 216
Number of pages: 27 Posted: 05 Apr 2007 Last Revised: 08 Apr 2009
Dirk G. Baur
University of Western Australia - Business School
Downloads 278 (80,552)
Citation 3

Abstract:

stock market co-movements, bond market co-movements, stock-bond co-movements, flight-to-quality, contagion

22.

Heterogeneous Expectations in the Gold Market: Specification and Estimation

Journal of Economic Dynamics and Control, Vol. 40, 2014
Number of pages: 40 Posted: 24 Dec 2011 Last Revised: 23 Sep 2015
Dirk G. Baur and Kristoffer J. Glover
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 273 (80,868)

Abstract:

gold price, heterogeneous agents, switching, bubbles, STR models

23.
Downloads 260 ( 92,197)
Citation 4

Financial Contagion and the Real Economy

CAMA Working Paper No.16/2010
Number of pages: 35 Posted: 01 Sep 2010 Last Revised: 03 Dec 2010
Dirk G. Baur
University of Western Australia - Business School
Downloads 185 (129,114)
Citation 4

Abstract:

contagion, stock market contagion, sector contagion, financial crisis, financial crisis definition

Financial Contagion and the Real Economy

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 34 Posted: 18 Aug 2010
Dirk G. Baur
University of Western Australia - Business School
Downloads 75 (256,840)
Citation 4

Abstract:

contagion, stock market contagion, sector contagion, financial crisis, financial crisis definition, crisis period identification

24.

Financial Turmoil and Safe Haven Assets

Number of pages: 34 Posted: 14 Feb 2012 Last Revised: 12 May 2013
Dirk G. Baur and Thomas K. J. McDermott
University of Western Australia - Business School and University College Cork
Downloads 258 (73,611)
Citation 1

Abstract:

safe haven, safe assets, uncertainty, gold, US government bonds, Ellsberg decision rule, ambiguity-aversion, black swan event, contagion

25.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
University of York - The York Management School, Trinity Business School, Trinity College Dublin, Monash University and University of Western Australia - Business School
Downloads 252 (29,789)

Abstract:

Gold, survey, review

26.

International Investors, Exchange Rates and Equity Prices

FIRN Research Paper
Number of pages: 60 Posted: 03 Feb 2014 Last Revised: 20 Feb 2014
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 243 (84,137)

Abstract:

exchange rates, equity-currency correlation, international investors, Uncovered Equity Parity

27.

Corporate Integrity

Number of pages: 19 Posted: 29 Aug 2008
Dirk G. Baur
University of Western Australia - Business School
Downloads 233 (81,200)

Abstract:

integrity, corporate integrity, corporate governance, executive compensation, shareholder activism

28.

The Destruction of a Safe Haven Asset?

Number of pages: 19 Posted: 07 Sep 2012
Dirk G. Baur and Kristoffer J. Glover
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 223 (77,878)
Citation 1

Abstract:

safe haven, gold, investor behavior, funding constraints, contagion

29.

The Long-Run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises

Number of pages: 28 Posted: 06 Mar 2012 Last Revised: 14 Mar 2015
Dirk G. Baur and Duy Tien Tran
University of Western Australia - Business School and University of Western Australia - UWA Business School
Downloads 206 (102,955)

Abstract:

co-integration, nonlinear error-correction, Granger causality, gold, silver, bubbles, financial crisis

30.

Bitcoin: Currency or Investment?

Number of pages: 13 Posted: 07 Feb 2015
Dirk G. Baur, Adrian D. Lee and Kihoon Hong
University of Western Australia - Business School, University of Technology, Sydney - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 194 (43,715)

Abstract:

Bitcoin; digital currency; alternative currency; asset class

31.

Explanatory Mining for Gold: Contrasting Evidence from Simple and Multiple Regressions

Number of pages: 24 Posted: 20 Sep 2010
Dirk G. Baur
University of Western Australia - Business School
Downloads 188 (118,549)
Citation 2

Abstract:

gold, store of value, inflation hedge, exchange rate, safe haven, uncertainty, cost of carry

32.

Multivariate Contagion and Interdependence

Number of pages: 33 Posted: 23 Jan 2006 Last Revised: 25 Jan 2009
Dirk G. Baur and Renee Fry
University of Western Australia - Business School and Australian National University (ANU) - Department of Economics
Downloads 173 (132,645)
Citation 2

Abstract:

contagion, interdependence, common movements, panel data, fixed time effects, Asian crisis, equity markets, endogenous crisis period, asymmetries

33.

Purchasing Power Parity: Granger Causality Tests for the Yen-Dollar Exchange Rate

Tuebingen University Working Paper No. 213
Number of pages: 22 Posted: 17 Jun 2005
Gunther Schnabl and Dirk G. Baur
University of Leipzig - Institute for Economic Policy and University of Western Australia - Business School
Downloads 168 (136,714)
Citation 7

Abstract:

Yen, yen-dollar exchange rate, purchasing power parity, Granger causality test

34.

Gold Mining Companies and the Price of Gold

Number of pages: 23 Posted: 27 Feb 2012 Last Revised: 07 May 2014
Dirk G. Baur
University of Western Australia - Business School
Downloads 134 (150,426)

Abstract:

gold, gold-mining stocks, asymmetric payoff, real options, exchange-traded funds

35.

Momentum in the Irish Stock Market

Number of pages: 19 Posted: 21 Aug 2008
Dan J. O'Donnell and Dirk G. Baur
affiliation not provided to SSRN and University of Western Australia - Business School
Downloads 133 (167,694)

Abstract:

momentum, anomaly, market efficiency

36.

Predicting the Equity Premium with the Demand for Gold Coins and Bars

FIRN Research Paper
Number of pages: 15 Posted: 05 Jun 2013 Last Revised: 06 Feb 2015
Dirk G. Baur and Gunter Löffler
University of Western Australia - Business School and University of Ulm - Department of Mathematics and Economics
Downloads 129 (148,778)

Abstract:

equity premium, stock returns, gold, gold coins, dividend yield, predictive regressions

37.

Do Gold Prices Cause Production Costs? Evidence from Country and Company Data

FIRN Research Paper No. 2507733
Number of pages: 27 Posted: 09 Oct 2014 Last Revised: 04 Feb 2015
University of York - The York Management School, University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 126 (125,431)

Abstract:

gold price, gold production costs, mining, causality, real optionality, Ricardo

38.

State-Dependent Momentum in International Stock Markets

Number of pages: 37 Posted: 10 Jul 2012
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 118 (174,776)

Abstract:

quantile autoregression (QAR), return autocorrelation, investor behavior, momentum, underreaction, financial crisis

39.

Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?

Ruhr Economic Paper No. 506
Number of pages: 29 Posted: 08 Feb 2015
Dirk G. Baur, Joscha Beckmann and Robert Czudaj
University of Western Australia - Business School, University of Duisburg-Essen - Department of Economics and Business Administration and University of Duisburg-Essen
Downloads 111 (137,467)

Abstract:

Bayesian econometrics; dynamic model averaging; forecasting; gold

40.

The Structure and Degree of Dependence - A Quantile Regression Approach

Number of pages: 40 Posted: 04 Apr 2011
Dirk G. Baur
University of Western Australia - Business School
Downloads 110 (184,721)
Citation 1

Abstract:

quantile regression, copula, dependence modelling, tail dependence, contagion, financial crises

41.

Why Do Central Banks Hold Gold? An Analysis of Trust

Number of pages: 50 Posted: 14 Jun 2013 Last Revised: 07 Aug 2013
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 89 (172,684)

Abstract:

central bank reserves, central bank gold reserves, gold, sovereign debt, trust

42.

Multivariate Market Association and Its Extremes

Technical EUR Report No. 20701 EN
Number of pages: 25 Posted: 27 Aug 2003
Dirk G. Baur
University of Western Australia - Business School
Downloads 89 (229,157)
Citation 3

Abstract:

cross-sectional dispersion, correlation asymmetry, quantile regression

43.

House Prices and Economic Risks - Are Irish Households Rational?

Number of pages: 33 Posted: 21 Aug 2008
Dirk G. Baur and Conor McKeating
University of Western Australia - Business School and Dublin City University
Downloads 65 (273,149)

Abstract:

house prices, economic risk, household investment decisions

44.

No Puzzle: The Foreign Exchange Exposure of Australian Firms

Number of pages: 32 Posted: 16 Mar 2013
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 63 (254,328)

Abstract:

exchange rate risk, FX exposure, asymmetric exposure, commodity currency

45.

The Gold Fixing Game

Number of pages: 63 Posted: 07 Jul 2014
Dirk G. Baur
University of Western Australia - Business School
Downloads 46 (262,405)

Abstract:

manipulation; misbehaviour, gold; gold price fixing; role-play; simulation

46.

Case Study: Porsche versus Volkswagen

Number of pages: 12 Posted: 23 Aug 2015
Dirk G. Baur
University of Western Australia - Business School
Downloads 40 (43,613)

Abstract:

Porsche; Volkswagen; takeover; short squeeze; hedge funds

47.

The Contradiction of the Time Value of Money and Sustainability

Number of pages: 14 Posted: 13 May 2015
Dirk G. Baur and Thomas Lagoarde-Segot
University of Western Australia - Business School and Euromed Management Marseille
Downloads 28 (254,328)

Abstract:

time value of money; capital budgeting; inter-generational equity; separation of ownership and management; lack of commitment

48.

The Stock Market, the Real Economy and Contagion

Number of pages: 61 Posted: 03 Jul 2014
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 27 (299,313)
Citation 4

Abstract:

global stock markets; real economic activity; predictive regressions; contagion; financial crises; co-integration

49.

Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold

Number of pages: 28 Posted: 09 Feb 2017
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 0 (206,502)

Abstract:

Gold, bayesian model averaging, model uncertainty

50.

Gold and Currencies

Number of pages: 26 Posted: 31 Jan 2017 Last Revised: 01 Feb 2017
Dirk G. Baur
University of Western Australia - Business School
Downloads 0 (400,911)

Abstract:

gold, exchange rates, law of one price, numeraire, commodities, VAR

51.

Bubbles and Crashes in the Australian Residential Property Market

Number of pages: 35 Posted: 09 Oct 2016
Dirk G. Baur and Richard A. Heaney
University of Western Australia - Business School and University of Western Australia
Downloads 0 (349,383)

Abstract:

Australian property market, bubbles, crashes; contagion, diversification

52.

Inter-Quantile Ranges and Volatility of Financial Data

Number of pages: 34 Posted: 08 Sep 2016 Last Revised: 05 Oct 2016
Thomas Dimpfl and Dirk G. Baur
University of Tuebingen - Department of Statistics and Econometrics and University of Western Australia - Business School
Downloads 0 (415,603)

Abstract:

quantile autoregression (QAR), asymmetric volatility, inter-quantile range

53.

Think Again: Volatility Asymmetry and Volatility Persistence

Number of pages: 37 Posted: 08 Jul 2016 Last Revised: 09 Feb 2017
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 0 (219,699)

Abstract:

volatility asymmetry; volatility persistence; volatility feedback; GARCH; realized volatility; jumps; quantile regression

54.

Virtual Currencies: Media of Exchange or Speculative Asset?

SWIFT Institute Working Paper No. 2014-007
Number of pages: 33 Posted: 06 Jul 2016
Dirk G. Baur, Kihoon Hong and Adrian D. Lee
University of Western Australia - Business School, University of Technology Sydney (UTS) and University of Technology, Sydney - Finance Discipline Group
Downloads 0 (241,112)

Abstract:

Bitcoin; Virtual Currency; Digital Currency; Alternative Currency; Medium of Exchange; Asset Class; Safe Haven

55.

Why is Gold a Safe Haven? (Presentation Slides)

Journal of Behavioral and Experimental Finance, Forthcoming
Number of pages: 8 Posted: 03 May 2016
Dirk G. Baur and Thomas K. J. McDermott
University of Western Australia - Business School and University College Cork
Downloads 0 (301,970)

Abstract:

safe haven; safe assets; gold; US government bonds; flight to quality; flight to gold; decision-making under stress; local thinking

56.

Market Integration and Contagion – The Curious Case of the Eurozone Debt Crisis

FIRN Research Paper No. 2759648
Number of pages: 34 Posted: 09 Apr 2016 Last Revised: 17 May 2016
Dirk G. Baur
University of Western Australia - Business School
Downloads 0 (262,405)

Abstract:

contagion; correlations; co-exceedances; decoupling; flight to quality; market integration; Eurozone debt crisis

57.

Googling Gold and Mining Bad News

Number of pages: 17 Posted: 08 Jan 2016 Last Revised: 28 Jul 2016
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 0 (237,528)

Abstract:

gold, volatility, investor attention, google, search queries

58.

Return and Volatility Linkages between the US and the German Stock Market

Journal of International Money and Finance, Vol. 25, No. 4 , pp. 598-613 , June 2006
Posted: 15 Jun 2006
Dirk G. Baur and Robert Jung
University of Western Australia - Business School and University of Hohenheim - Institute of Economics

Abstract:

Spillovers, Contemporaneous correlation, Information transmission, Intra-day data, GARCH models

59.

Testing for Contagion - Mean and Volatility Contagion

Journal of Multinational Financial Management, Vol. 13, Nos. 4-5 , pp. 405-422, December 2003
Posted: 14 Jun 2006
Dirk G. Baur
University of Western Australia - Business School

Abstract:

Comovement, Contagion, Correlation, Spillover

60.

Modelling the Effects of Meteorological Variables on Ozone Concentration - A Quantile Regression Approach

Atmospheric Environment, Vol. 38, No. 28, pp. 4689-4699, 2004
Posted: 27 Jan 2005
Dirk G. Baur, Michaela Saisana and Niels Schulze
University of Western Australia - Business School, Joint Research Centre, Italy and Deutsche Bundesbank - Financial Stability Department

Abstract:

Air pollution, Photochemical modeling, Quantile regression, Conditional density estimation