Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic

نویسندگان

چکیده

Our research explores how the COVID-19 pandemic has influenced asymmetric spillover effects in oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily price data, 1) we find evidence of only from market that this effect is stronger during 2) conclude negative information shock larger impact on return volatility compared positive intensified pandemic.

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ژورنال

عنوان ژورنال: Energy research letters

سال: 2021

ISSN: ['2652-6433', '2652-6514']

DOI: https://doi.org/10.46557/001c.28127