Hedging oil price risk with gold during COVID-19 pandemic

This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before a...

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Detalles Bibliográficos
Autores principales: Salisu, Afees A., Vo, Xuan Vinh, Lawal, Adedoyin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7547572/
https://www.ncbi.nlm.nih.gov/pubmed/34173425
http://dx.doi.org/10.1016/j.resourpol.2020.101897

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7547572/
https://www.ncbi.nlm.nih.gov/pubmed/34173425
http://dx.doi.org/10.1016/j.resourpol.2020.101897

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