Modelling Extreme Dependencies Between Stock and Precious Metals Markets

Student: Zhizhin Maxim

Faculty: International College of Economics and Finance

Educational Programme: International Programme in Economics and Finance (Bachelor)

Year of Graduation: 2024

The aim of this paper is to model dependence structure between extreme returns of gold and stock market and investigate diversification potential of gold with respect to US stock market. I employ dynamic copula approach to multivariate modelling to account for asymmetries in joint distribution of the returns. I conclude that gold is weakly associated with US stock market both on average and in times of market turbulences. Additionally, effect of COVID-19 pandemic on dependence structure is measured, indicating increase in positive dependence between gold with respect to US stock market returns.

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