Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-29
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...
