Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic
Document Type
Article
Source of Publication
The North American Journal of Economics and Finance
Publication Date
3-23-2022
Abstract
This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run and long-run), doing both an in-sample and out-of-sample analysis. We find much more unstable weights as the frequency of the decomposition becomes lower, and strong evidence of the outperformance of the mid-run decompositions over the rest of active management strategies and the passive management of buy and hold the variety of single equity indices. Thus, we may shed some light on the role of Gold as a safe haven when properly filtering aggregated data.
DOI Link
Publisher
Elsevier
First Page
101677
Last Page
101677
Disciplines
Business
Keywords
MODWT, ADCC-GARCH, COVID-19, Gold, Stock markets
Scopus ID
Recommended Citation
Esparcia, Carlos; Jareño, Francisco; and Umar, Zaghum, "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic" (2022). All Works. 4963.
https://zuscholars.zu.ac.ae/works/4963
Indexed in Scopus
yes
Open Access
no