Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
Siddiqui N, Mohamad Hasim H.
europepmc +1 more source
Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data. [PDF]
Sheraz M, Dedu S, Preda V.
europepmc +1 more source
How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. [PDF]
Zhu P, Lu T, Chen S.
europepmc +1 more source
Memory-Driven Dynamics: A Fractional Fisher Information Approach to Economic Interdependencies. [PDF]
Batrancea LM +4 more
europepmc +1 more source
Long memory mean and volatility models of platinum and palladium price return series under heavy tailed distributions. [PDF]
Ranganai E, Kubheka SB.
europepmc +1 more source
The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach. [PDF]
Usman N, Akadiri SS.
europepmc +1 more source
COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets. [PDF]
Mensi W, Vo XV, Kang SH.
europepmc +1 more source
The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data. [PDF]
Cevik EI, Gunay S, Bugan MF, Dibooglu S.
europepmc +1 more source
Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold. [PDF]
Liu X, Shehzad K, Kocak E, Zaman U.
europepmc +1 more source

