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

94

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36,137

SSRN CITATIONS
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Top 2,585

in Total Papers Citations

351

CROSSREF CITATIONS

114

Scholarly Papers (94)

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 4,651 (1,914)
Citation 83

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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 3 (716,504)
Citation 3
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2.

Bitcoin: Medium of Exchange or Speculative Assets?

Number of pages: 31 Posted: 07 Feb 2015 Last Revised: 26 Sep 2017
Dirk G. Baur, Kihoon Hong and Adrian D. Lee
University of Western Australia - Business School, University of Technology Sydney (UTS) and Deakin University - Department of Finance (Property and Real Estate)
Downloads 2,536 (5,460)
Citation 66

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Bitcoin; digital currency; alternative currency; medium of exchange; asset class; safe haven

3.

Case Study: Porsche versus Volkswagen

Number of pages: 12 Posted: 23 Aug 2015
Dirk G. Baur
University of Western Australia - Business School
Downloads 2,088 (7,568)

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Porsche; Volkswagen; takeover; short squeeze; hedge funds

4.

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 SEMRU, Whitaker Institute, NUI Galway
Downloads 1,717 (10,506)
Citation 51

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gold, safe haven, financial markets, uncertainty

5.

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 1,316 (15,915)
Citation 1

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

6.

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 1,221 (17,821)
Citation 1

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

7.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
University College Cork, Trinity Business School, Trinity College Dublin, The University of Sydney and University of Western Australia - Business School
Downloads 1,180 (18,854)
Citation 3

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Gold, survey, review

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 992 (24,308)
Citation 3

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football, public markets, IPO

9.

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 965 (25,266)
Citation 10

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Football, International Trade, Transfer market

10.

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 962 (25,367)
Citation 4

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

11.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 951 (25,793)
Citation 5

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Bitcoin, digital currency, medium of exchange, realized volatility

12.

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 932 (26,528)
Citation 10

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

13.

Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

Number of pages: 21 Posted: 19 Dec 2017 Last Revised: 21 Dec 2017
University of Western Australia - Business School, University of Western Australia, The University of Western Australia - Department of Accounting and Finance and The University of Western Australia Business School
Downloads 887 (28,514)
Citation 9

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Bitcoin; blockchain; day-of-week effects; January effect; Halloween effect; arbitrage; market efficiency

14.

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 652 (43,495)
Citation 19

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

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 649 (44,012)
Citation 9

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

16.

Corporate Integrity

Number of pages: 19 Posted: 29 Aug 2008
Dirk G. Baur
University of Western Australia - Business School
Downloads 589 (49,711)

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

17.

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 588 (49,823)
Citation 5

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

18.

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 541 (55,382)
Citation 10

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

19.

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 494 (62,078)
Citation 2

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stock return distribution, quantile autoregression, overreaction and underreaction

20.

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 473 (65,503)

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

21.

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 467 (66,506)

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

22.

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 SEMRU, Whitaker Institute, NUI Galway
Downloads 441 (71,307)
Citation 3

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

23.

A Flexible Dynamic Correlation Model

Number of pages: 36 Posted: 25 Feb 2003
Dirk G. Baur
University of Western Australia - Business School
Downloads 433 (72,923)
Citation 2

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Multivariate GARCH, BEKK, Covariance Models,

24.

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 432 (73,130)
Citation 4

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

25.
Downloads 405 ( 78,930)
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 311 (105,812)
Citation 4

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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 94 (302,760)

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

26.

Investing in Gold - Market Timing or Buy-and-Hold?

Number of pages: 33 Posted: 17 Jul 2018 Last Revised: 15 Nov 2018
University of Western Australia - Business School, dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 404 (79,138)

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gold; market efficiency; investment strategies; monthly seasonalities; fundamental factors; technical indicators; superior predictive ability test

27.

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 386 (83,430)
Citation 8

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Financial Crises, Contagion, Coexceedances, Quantile Regression

28.

Gold and Geopolitical Risk

Number of pages: 25 Posted: 13 Feb 2018
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 377 (85,782)
Citation 6

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Gold; safe haven; geopolitical risks; VIX; precious metals; Bitcoin

29.

Bitcoin, Gold and the Dollar - A Replication and Extension

Number of pages: 21 Posted: 24 Aug 2017 Last Revised: 26 Aug 2017
Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics
Downloads 342 (96,165)
Citation 19

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replication study, Bitcoin, cryptocurrencies

30.

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 333 (98,736)
Citation 6

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

31.
Downloads 322 (102,550)
Citation 2

I Am a Blockchain Too...

Number of pages: 28 Posted: 06 Jun 2018 Last Revised: 05 Apr 2019
University of Western Australia, University of Western Australia - Business School, The University of Western Australia Business School and The University of Western Australia
Downloads 249 (134,071)

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Blockchain; Bitcoin; announcement; event study; investor attention.

I Am a Blockchain Too: How Does the Market Respond to Companies’ Interest in Blockchain?

2019 Financial Markets & Corporate Governance Conference
Number of pages: 50 Posted: 22 Jan 2019 Last Revised: 24 Nov 2019
University of Western Australia, University of Western Australia - Business School, The University of Western Australia Business School and The University of Western Australia
Downloads 73 (353,751)
Citation 2

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Blockchain; Bitcoin; announcement; event study; investor attention

32.

Global Sensitivity Analysis for Latent Factor Credit Risk Models

Number of pages: 29 Posted: 03 Jan 2005
University of Western Australia - Business School, Joint Research Center of the European Commission and Europoean Commission - Joint Reserach Centre
Downloads 315 (105,031)
Citation 1

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

33.

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 314 (105,354)
Citation 3

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

34.

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 310 (106,810)
Citation 2

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Financial stability, Systemic risk, Contagion, Quantile regression

35.

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 308 (107,604)

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

36.

Price Discovery in Bitcoin Spot or Futures?

Number of pages: 35 Posted: 13 May 2018 Last Revised: 01 Dec 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 305 (108,753)
Citation 18

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Bitcoin, Futures, Price Discovery, Co-Integration, Information Shares

37.

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 Deakin University - Department of Finance (Property and Real Estate)
Downloads 281 (118,775)

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

38.

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 The University of Western Australia - UWA Business School
Downloads 263 (127,288)
Citation 5

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co-integration, nonlinear error-correction, Granger causality, gold, silver, bubbles, 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 257 (130,378)
Citation 5

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Bayesian econometrics; dynamic model averaging; forecasting; gold

40.

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 256 (130,889)

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Gold, bayesian model averaging, model uncertainty

41.

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 229 (146,126)
Citation 1

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

42.

Monopoly in Real Life - The Housing Market, Finance and Inequality

Number of pages: 31 Posted: 15 Mar 2017 Last Revised: 30 Jan 2019
Dirk G. Baur
University of Western Australia - Business School
Downloads 228 (146,767)

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house prices; debt; inequality; monetary policy; board game Monopoly

43.

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 College Cork, University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 227 (147,404)
Citation 1

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

44.

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 214 (155,873)

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

45.

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 Ulm University
Downloads 200 (166,015)

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

46.

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 192 (172,316)
Citation 2

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

47.

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 191 (173,120)
Citation 2

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

48.

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 187 (176,551)
Citation 1

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

49.

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 186 (177,395)
Citation 4

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

50.

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 157 (205,415)

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

51.

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 152 (211,063)

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

52.

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 150 (213,475)

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momentum, anomaly, market efficiency

53.

Bubbles and Crashes in the Australian Residential Property Market

Number of pages: 40 Posted: 09 Oct 2016 Last Revised: 03 May 2017
Dirk G. Baur and Richard A. Heaney
University of Western Australia - Business School and University of Western Australia
Downloads 138 (228,224)
Citation 2

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Australian housing market, bubbles, crashes; contagion, diversification

54.

The Role of Gold and the VIX in Investment Portfolios – A Financial and Sustainability Perspective

Number of pages: 24 Posted: 14 Nov 2017
Dirk G. Baur and Josua Oll
University of Western Australia - Business School and University of Hamburg
Downloads 136 (230,878)

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gold; sustainability; VIX; carbon emissions

55.

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 133 (235,066)
Citation 1

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

56.

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 SEMRU, Whitaker Institute, NUI Galway
Downloads 123 (249,431)

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

57.

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 105 (279,365)

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

58.

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 101 (286,817)
Citation 1

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gold, volatility, investor attention, google, search queries

59.

The Gold Fixing Game

Number of pages: 63 Posted: 07 Jul 2014
Dirk G. Baur
University of Western Australia - Business School
Downloads 101 (286,817)
Citation 1

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

60.

Electric Vehicle Production and the Price of Lithium

Number of pages: 37 Posted: 30 Nov 2018
Dirk G. Baur and Darren Gan
University of Western Australia - Business School and The University of Western Australia - UWA Business School
Downloads 100 (288,741)

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car manufacturers; electric vehicles; lithium; oil; government regulation

61.

How Stable Are Stablecoins?

Number of pages: 29 Posted: 02 Mar 2020 Last Revised: 08 Jun 2020
Lai T. Hoang and Dirk G. Baur
The University of Western Australia and University of Western Australia - Business School
Downloads 94 (300,519)

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stablecoins; Bitcoin; cryptocurrencies; Tether; financial stability; safe assets

62.

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 93 (302,583)

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

63.

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 93 (302,583)
Citation 2

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cross-sectional dispersion, correlation asymmetry, quantile regression

64.

Forecasting Bitcoin Volatility: Evidence from the Options Market

Journal of Futures Markets, Forthcoming
Number of pages: 41 Posted: 09 Apr 2020 Last Revised: 08 Jun 2020
Lai T. Hoang and Dirk G. Baur
The University of Western Australia and University of Western Australia - Business School
Downloads 91 (306,712)

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Bitcoin, Bitcoin Options Market, Implied Volatility, Forecasting, Realized Volatility

65.

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 89 (311,059)

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

66.

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 85 (320,153)

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

67.

A Crypto Safe Haven Against Bitcoin

Number of pages: 15 Posted: 23 Sep 2019 Last Revised: 30 Dec 2019
Dirk G. Baur and Lai T. Hoang
University of Western Australia - Business School and The University of Western Australia
Downloads 78 (336,988)
Citation 8

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Bitcoin, Tether, Cryptocurrencies, Stablecoins, Safe Haven

68.

A Safe Haven Index

Number of pages: 35 Posted: 02 Jul 2020 Last Revised: 16 Jul 2020
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 72 (363,758)

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safe haven, gold, government bonds, Bitcoin, COVID-19, safe assets, volatility

69.

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 71 (355,339)

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house prices, economic risk, household investment decisions

70.

COVID-19 Infection of Australian Companies

Number of pages: 43 Posted: 26 May 2020 Last Revised: 08 Jun 2020
Dirk G. Baur and Allan Trench
University of Western Australia - Business School and The University of Western Australia
Downloads 70 (360,937)

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COVID-19, coronavirus, contagion, systemic risk, idiosyncratic risk

71.

A Storm But No Damage? A Two-Country Equity and Currency Market Perspective of Brexit

Number of pages: 31 Posted: 20 Mar 2018
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and The University of Western Australia
Downloads 70 (358,135)

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Brexit, Cross-Listing, Price Discovery, Volatility, High-Frequency Data, Contagion

72.

The (Un-)Sustainability of Bitcoin Investments

Number of pages: 19 Posted: 22 Apr 2019
Dirk G. Baur and Josua Oll
University of Western Australia - Business School and University of Hamburg
Downloads 67 (366,648)

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Bitcoin; carbon footprint; sustainability; diversification

73.

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 64 (375,388)

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

74.

Global Valuation of Firms in a Natural Experiment

Number of pages: 17 Posted: 08 Aug 2017
Dirk G. Baur and Sreevijay Rajakumar
University of Western Australia - Business School and The University of Western Australia - UWA Business School
Downloads 59 (391,001)

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75.

Regime-Dependent Good and Bad Volatility of Bitcoin

Number of pages: 15 Posted: 01 Aug 2019 Last Revised: 22 Dec 2019
Kislay Jha and Dirk G. Baur
Indian Institute of Technology (IIT), Kanpur and University of Western Australia - Business School
Downloads 56 (401,057)

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Semivariance; Bitcoin; Volatility Asymmetry; High-Frequency Data; HAR; Quantile Regression

76.

The Timing of the Flight to Gold: An Intra-Day Analysis of Gold and the S&P500

Finance Research Letters, Forthcoming
Number of pages: 17 Posted: 23 Sep 2018 Last Revised: 11 May 2019
Dirk G. Baur and Konstantin Kuck
University of Western Australia - Business School and University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics
Downloads 54 (407,789)

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Gold, safe haven, intra-day data, high-frequency

77.

Green Gold - A Gold Mining Perspective

Number of pages: 57 Posted: 17 Jan 2020
Dirk G. Baur, Allan Trench and Sam Ulrich
University of Western Australia - Business School, The University of Western Australia and The University of Western Australia
Downloads 47 (436,856)

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gold, sustainable, mining, exploration, environmental, ESG

78.

The Asymmetric Return - Volatility Relationship of Commodity Price Changes

Number of pages: 23 Posted: 01 Apr 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 45 (440,736)
Citation 2

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asymmetric volatility, leverage effect, volatility feedback effect, commodities; financialization

79.

Asymmetric Volatility in Cryptocurrencies

Number of pages: 11 Posted: 29 Mar 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 44 (444,629)
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asymmetric volatility, Bitcoin, cryptocurrencies, FOMO

80.

Information Transmission across Cryptocurrency Markets and the Role of the Blockchain

Number of pages: 42 Posted: 06 May 2020
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 43 (448,729)

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Bitcoin, cryptocurrencies, blockchain, market efficiency, latency, sampling frequency

81.

The Relevance of Return and Volatility Spillovers for Portfolio Diversification

Number of pages: 43 Posted: 05 Jun 2019
Dirk G. Baur and Lai T. Hoang
University of Western Australia - Business School and The University of Western Australia
Downloads 34 (487,955)

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spillovers, return spillovers, volatility spillovers, correlations, portfolio diversification

82.

Insider Trading Laws as a Defeat Device

Number of pages: 27 Posted: 29 Apr 2019 Last Revised: 20 May 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 33 (492,773)

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insider trading, trust, efficient markets, illusion, defeat device, extreme price movements, crash risk, manipulation

83.

Flight to Quality - Gold Mining Shares versus Gold Bullion

Number of pages: 47 Posted: 02 Dec 2019 Last Revised: 07 Mar 2020
University of Western Australia - Business School, Zeppelin University and University of Hohenheim
Downloads 31 (502,553)

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gold, safe haven, flight to quality, gold mining, financial shocks

84.

Oil prices and Clean Energy Stock Prices Revisited

Number of pages: 35 Posted: 28 Oct 2019 Last Revised: 05 Mar 2020
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 29 (513,058)

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renewable energy, oil prices, correlations, spillovers, replication

85.

The Precious Metals Holdings of Chinese Commercial Banks

Number of pages: 31 Posted: 19 Sep 2019
University of Western Australia - Business School, UWA Business School, The University of Western Australia, The University of Western Australia and The University of Sydney
Downloads 29 (513,058)

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gold, China, commercial banks, import licenses, gold swaps, BIS, trading income, interconnectedness, systemic risk

86.

From Financial to Carbon Diversification – The Potential of Physical Gold

Energy Economics, Vol. 81 (C), pages 1002-1010, 2019
Number of pages: 25 Posted: 14 Mar 2020
Dirk G. Baur and Josua Oll
University of Western Australia - Business School and University of Hamburg
Downloads 6 (662,475)

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gold, physical assets, sustainability, carbon emissions

87.

Oil and Gas Companies – Transition towards Zero Emissions?

Number of pages: 43
Dirk G. Baur and Neda Todorova
University of Western Australia - Business School and Griffith University
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oil, clean energy, renewable energy, transition, decarbonization, low-carbon economy, ESG

88.

Decoupling and Contagion: The Special Case of the Eurozone Sovereign Debt Crisis

International Review of Finance, Vol. 20, Issue 1, pp. 133-154, 2020
Number of pages: 22 Posted: 13 Mar 2020 Last Revised: 17 May 2020
Dirk G. Baur
University of Western Australia - Business School
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89.

Asymmetric Volatility in the Gold Market

Posted: 22 May 2019
Dirk G. Baur
University of Western Australia - Business School

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

90.

Is Contagion Infecting Your Portfolio? A Study of the Euro Sovereign Debt Crisis

Journal of Fixed Income, Vol. 25, No. 3, 2016
Posted: 15 Nov 2017
Dirk G. Baur and Gunter Löffler
University of Western Australia - Business School and Ulm University

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contagion; Eurozone crisis; co-exceedanes; persistence

91.

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

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

92.

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

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Comovement, Contagion, Correlation, Spillover

93.

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

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

94.

Oil and Gas Companies - Transition towards Zero Emissions?

Number of pages: 43
Dirk G. Baur and Neda Todorova
University of Western Australia - Business School and Griffith University
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Oil, Clean energy, Renewable energy, Transition, Decarbonization, Low-carbon economy, ESG.

Other Papers (1)

Total Downloads: 0
1.

Automobile Manufacturers, Electric Vehicles and the Price of Oil

Energy Economics, Vol. 74, 2018, 252 - 262.
Posted: 06 Jun 2017 Last Revised: 21 Oct 2018
Dirk G. Baur and Neda Todorova
University of Western Australia - Business School and Griffith University

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Automobile companies, Oil prices, Electric vehicles, Financialization