Dynamic Estimation of Stochastic Gold Exposure

Gold is often viewed as a safe haven asset or a hedge against market turmoil, currency depreciation, and other economic or political events. At the beginning of the COVID pandemic, S&P 500 experienced a sharp drop before returning to pre-COVID level several months later. At the same time, SPDR Gold Shares (GLD) had gained more than 25% from February to August 2020.




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Tim Leung, Ph.D.

Tim Leung, Ph.D.

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington, Seattle

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