Ajmi, Hechem; Arfaoui, Nadia; Saci, Karima - In: Studies in Economics and Finance 38 (2021) 5, pp. 926-945
Purpose: This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach: A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized...