A threshold effect of COVID-19 risk on oil price returns

Using U.S. data, we investigate how the COVID-19 pandemic influences oil price returns in an asset pricing framework. Unlike earlier studies, we consider a threshold model to allow for the possibility that COVID-19 risk may not play a role until it reaches a certain level. Based on WTI crude oil spo...

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Detalles Bibliográficos
Autores principales: Sun, Yiguo, Li, Delong, Suo, Chenyi, Wang, Yu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9995300/
https://www.ncbi.nlm.nih.gov/pubmed/36915626
http://dx.doi.org/10.1016/j.eneco.2023.106618

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9995300/
https://www.ncbi.nlm.nih.gov/pubmed/36915626
http://dx.doi.org/10.1016/j.eneco.2023.106618

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