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

Carlos Esparcia, Francisco Jareño () and Zaghum Umar

The North American Journal of Economics and Finance, 2022, vol. 61, issue C

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.

Keywords: MODWT; ADCC-GARCH; COVID-19; Gold; Stock markets (search for similar items in EconPapers)
JEL-codes: C02 C58 G01 G11 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000328

DOI: 10.1016/j.najef.2022.101677

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