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Hedging oil price risk with gold during COVID-19 pandemic
This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before a...
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| Published in: | Resour Policy |
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| Main Authors: | , , |
| Format: | Artigo |
| Language: | Inglês |
| Published: |
Elsevier Ltd.
2021
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| Subjects: | |
| Online Access: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7547572/ https://ncbi.nlm.nih.gov/pubmed/34173425 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.resourpol.2020.101897 |
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