The COVID-19 pandemic has caused an unprecedented human and health crisis. The
measures taken to contain the damage caused a global economic slowdown. Investors face …

This study examines the dynamic asymmetric return spillovers between gold and oil
commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) …

Turbulent times significantly exacerbate the search for a safe haven asset, inspired by
investors' loss aversion. The same happened during the Covid-19 crisis when recurring …

This study involved a systematic literature review using bibliometric analysis to examine the
evolution and current trends of Markov switching studies. The bibliometric analysis was used …

This paper examines spillover effects among six commodity futures markets–gold, silver,
West Texas Intermediate crude oil, corn, wheat, and rice–by employing the multivariate …

This paper examines the asymmetric impact of gold prices, oil prices and their associated
volatilities on stock markets of emerging economies. Monthly data are used for the period …

This study provides evidence on the frequency-based dependency networks of various
financial assets in the tails of return distributions given the extreme price movements under …

We compare the performance of safe-haven assets during the Global Financial Crisis (GFC)
and COVID-19 pandemic. First, regarding the GFC, we find, intermediate (weak) safe haven …

This paper employs a VAR-GARCH model to investigate the return links and volatility
transmission between the S&P 500 and commodity price indices for energy, food, gold and …

This paper empirically investigates the contagion effects of the global financial crisis in a
multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic …