Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

“…Recent studies such as Berger and Czudaj (2020) propose the fresh application of a wavelet-based portfolio strategy for commodity futures, highlighting the suitability of the wavelet methodology to manage investment portfolios. In the same vein, Dai et al (2020) explore different time horizons between oil, Gold and stock markets by applying wavelet techniques that allow to distinguish frequency scales related to short-, medium- and long-run. Thus, this sort of studies could have relevant implications for short- and long-run investments.…”

“…These economic shocks are localized in time and exhibit oscillations of different frequency ( Al-Yahyaee et al, 2020 ). Some economic indicators and their own interrelationships lag behind, ahead of or coincide with other variables ( Dai et al, 2020 ). Additionally, different market players in the financial system understand the mechanics on shorter and longer timescales ( Reboredo and Rivera-Castro, 2014 , Baruník et al, 2016 , Liu et al, 2017 , Beckmann et al, 2019 ).…”

“…Thus, the “short-run“ and ”long-run“ terms are considered to be fundamental in modelling the complex relationships between these financial variables. In this regard, wavelets decompose time series data at different scales and can reveal relationships not evident in the aggregate data ( Maghyereh et al, 2019 , Mishra et al, 2019 , Paul et al, 2019 , Maghyereh and Abdoh, 2020 , Rehman, 2020 , Rehman and Kang, 2020 ; Živkov, Gajić-Glamočlija, et al , 2020; Živkov, Kuzman, et al , 2020; Berger and Czudaj, 2020 , Bhatia et al, 2020 , Dai et al, 2020 , Lim, 2020 , Mensi et al, 2020 , Sun et al, 2021 , Ghosh et al, 2021 , Karim et al, 2021 , Khraief et al, 2021 ).…”

Systemic risk contagion within US states

“…In this regard, different authors have taken different approaches to determine the effect of this crucial topic. Most researchers in this field have worked on the geographical spillover of systemic risk (Avdjiev et al , 2019; Foglia et al , 2020) at country level, where the USA plays a dominant role in the literature (Dai et al , 2020). Others investigate the devastating effect of the systemic risk in global macroeconomy (He and Krishnamurthy, 2019; McMillan, 2020).…”

Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

“…To do this task, the dependence among the returns of all the energy commodity instruments and gold/Bitcoin are taken into account by adopting a vine copula. This model has been popular in describing high-dimensional risk dependence in energy commodities, precious metals, cryptocurrencies, and other markets; see, e.g., Sukcharoen and Leatham, 2017 , Dai et al, 2020 , and Syuhada and Hakim (2020) . For comparison, we simplify this problem by firstly combining the overall energy commodities into a portfolio and then capturing the dependence between this portfolio and gold/Bitcoin returns using a simple two-dimensional copula.…”