  This paper aims to investigate the role of gold as a hedge and/or safe haven
against oil price and currency market movements for medium (calm period) and
large (extreme movement) fluctuations. In revisiting the role of gold, our
study proposes new insights into the literature. First, our empirical design
relaxes the assumption of homogeneous investors in favour of agents with
different horizons. Second, we develop a new measure of correlation based on
the fractal approach, called the q-detrending moving average cross-correlation
coefficient. This allows us to measure the dependence for calm and extreme
movements. The proposed measure is both time-varying and time-scale varying,
taking into account the complex pattern of commodities and financial time
series (chaotic, non-stationary, etc.). Using intraday data from May 2017 to
March 2019, including 35608 observations for each variable, our results are as
follows. First, we show a negative and significant average and tail dependence
for all time scales between gold and USD exchange rates that is consistent with
the gold's role as an effective hedge and safe-haven asset. Second, this study
puts out average independence and positive and significant tail independence
between gold and oil indicating that gold can be used by investors as a weak
hedge but cannot be used as an effective safe-haven asset under exceptional
market circumstances for all time scales. Third, we examine the hedging and
stabilising benefits of gold over calm and turmoil periods for gold-oil futures
and gold-currency portfolios by estimation of the optimal portfolio weights and
the optimal hedge ratio. We confirm the usefulness of gold for hedging and safe
havens at different investment horizons, which favors the inclusion of gold
futures in oil futures and currency portfolios for risk management purposes.
