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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2023
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| Materias: | |
| 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 |