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Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic

This paper investigates the tail behavior patterns of commodity assets, the risk exposure of these assets, and how they rank given their safe haven properties. We use state-of-the-art dynamic generalized autoregressive score models to jointly estimate tail risk measures for ten commodity assets (alu...

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Detalles Bibliográficos
Autores principales: Enilov, Martin, Mensi, Walid, Stankov, Petar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier B.V. 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9773101/
http://dx.doi.org/10.1016/j.jcomm.2022.100307