How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques

The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets.

Hedging oil price risk with gold during COVID-19 pandemic

Covid-19 pandemic and tail-dependency networks of financial assets.

Assessing the safe haven property of the gold market during COVID-19 pandemic

RETRACTED: On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model

On the study of conditional dependence structure between oil, gold and USD exchange rates

Energy commodities and precious metals differ from other trading products. In fact, both oil and gold prices are leading economic variables and drive the evolution of the world economy. Since the US dollar is used as the primary currency of international crude oil and gold trading, the relationship between commodities, metals and exchange rates became a major research agenda recently. Therefore, this study proposes a Nested copula based GARCH models to explore the dependence structure between oil, gold and USD exchange rate. More importantly, a comparative framework based on three sub-periods is implemented to capture the co-movement during normal and crisis period. Empirical results suggest that for both crisis period the dependence between oil, gold and USD exchange rate is stronger comparing with the dependence during the untroubled period. Moreover, the co-movement is accelerated which is explained by the unusual movement of USD during the global financial crisis of 2007–2009. (This abstract was borrowed from another version of this item.)

Rihab Bedoui

Papers

RETRACTED: On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model

On the study of conditional dependence structure between oil, gold and USD exchange rates

On the study of conditional dependence structure between oil, gold and USD exchange rates

Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory

Diamonds versus precious metals: What gleams most against USD exchange rates?