Title

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.

Publisher

Elsevier

First Page

101677

Last Page

101677

Disciplines

Business

Keywords

MODWT, ADCC-GARCH, COVID-19, Gold, Stock markets

Scopus ID

85127244042

Indexed in Scopus

yes

Open Access

no

Share

COinS