Is gold a hedge or a safe-haven asset in the COVID–19 crisis?
This study examines the role of gold as a hedge or safe-haven asset in different phases of
the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to …
the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to …
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
SA Basher, P Sadorsky - Energy Economics, 2016 - Elsevier
While much research uses multivariate GARCH to model volatility dynamics and risk
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …
[HTML][HTML] The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach
Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and
volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and …
volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and …
Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic
I Yousaf, S Ali - Financial Innovation, 2020 - Springer
Through the application of the VAR-AGARCH model to intra-day data for three
cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and …
cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and …
Is greenness an optimal hedge for sectoral stock indices?
The paper examines the role of green bonds in hedging the risk against industry portfolios
and other major asset classes. It mainly focuses on how the greenness of the portfolio …
and other major asset classes. It mainly focuses on how the greenness of the portfolio …
Gold against Asian stock markets during the COVID-19 outbreak
This study examines the safe-haven and hedging roles of gold against thirteen Asian stock
markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to …
markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to …
Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries
W Chkili - Research in International Business and Finance, 2016 - Elsevier
This paper examines the dynamic relationships between gold and stock markets using data
for the BRICS counties. For this purpose, we estimate the Asymmetric DCC model for weekly …
for the BRICS counties. For this purpose, we estimate the Asymmetric DCC model for weekly …
Comprehensive competitiveness assessment of four coal-to-liquid routes and conventional oil refining route in China
Y Zhang, J Li, X Yang - Energy, 2021 - Elsevier
Four coal-to-liquid (CTL) routes, called direct coal liquefaction (DCL), indirect coal
liquefaction (ICL), coal-based methanol to gasoline (CBMTG), and coal tar hydrogenation …
liquefaction (ICL), coal-based methanol to gasoline (CBMTG), and coal tar hydrogenation …
[HTML][HTML] Return and volatility connectedness between gold and energy markets: Evidence from the pre-and post-COVID vaccination phases
Using a two-step VAR asymmetric BEKK GARCH model, this research explores the
asymmetric return and volatility connectedness between gold and several energy markets …
asymmetric return and volatility connectedness between gold and several energy markets …
Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications
This paper tries to examine asymmetric and time-frequency volatility connectedness
between the Chinese crude oil futures market and international oil benchmarks. To this end …
between the Chinese crude oil futures market and international oil benchmarks. To this end …