Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak
This study uses hourly data to analyse the return and volatility transmission of oil-gold and oil-Bitcoin pairs during the pre-COVID-19 and COVID-19 periods. The results show that the return transmissions vary across the two periods for both pairs. There is a unidirectional volatility spill-over fro...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-05-01
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| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2021.1927787 |