Is gold a hedge or a safe-haven asset in the COVID–19 crisis?
TLDR
This article examined 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 support the weakened economy.About:
This article is published in Economic Modelling.The article was published on 2021-09-01 and is currently open access. It has received 216 citations till now. The article focuses on the topics: Institutional investor & Asset (economics).read more
Citations
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COVID–19 media coverage and ESG leader indices
TL;DR: In this paper, the authors examined the dynamic connectedness between COVID-19 media coverage index (MCI) and ESG leader indices and found that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic.
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Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold
TL;DR: In this paper, the safe haven property of gold as a traditional asset, and Bitcoin which is gradually imposing itself as a new class of asset with unique characteristics is reassessed, and empirical results, applied on major world stock market indices and currencies, show the effectiveness of Bitcoin and gold as hedging assets in reducing the risk of international portfolios.
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Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?
TL;DR: In this paper , the authors compared the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression.
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A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies
Boru Ren,Brian M. Lucey +1 more
TL;DR: In this article , the authors investigated the hedge and safe haven property of a wide range of clean energy indices against two distinct types of cryptocurrencies based on their energy consumption levels, termed "dirty" and "clean".
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What makes firms vulnerable to the Russia–Ukraine crisis?
TL;DR: This paper examined the impact of the Russia-Ukraine war on the constituent firms of the leading stock market indices of the G7 countries to provide insights into the vulnerability of firms to war events.
References
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
WHO Coronavirus Disease (COVID-19) Dashboard
TL;DR: Globally, as of 10,47am CEST, 28 May 2020, there have been 5,556,679 confirmed cases of COVID-19, including 351,866 deaths, reported to WHO.
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Better to give than to receive: Predictive directional measurement of volatility spillovers
TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.
Related Papers (5)
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more