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Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run a...

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Detalles Bibliográficos
Autores principales:	Esparcia, Carlos, Jareño, Francisco, Umar, Zaghum
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	The Author(s). Published by Elsevier Inc. 2022
Materias:	Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8940724/ http://dx.doi.org/10.1016/j.najef.2022.101677

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