Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19-Reference-Cited by-同舟云学术

Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19

Published:2022-11-01 Issue: Volume: Page:
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

Papathanasiou Spyros,Kenourgios Dimitris,Koutsokostas Drosos^ORCID,Pergeris Georgios

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

https://link.springer.com/content/pdf/10.1057/s41260-022-00292-y.pdf

Reference75 articles.

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2. Antonakakis, N., I. Chatziantoniou, and D. Gabauer. 2020. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management 13: 84. https://doi.org/10.3390/jrfm13040084.

3. Asadi, M., D. Roubaud, and A.K. Tiwari. 2022. Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness. Energy Economics 109: 105961. https://doi.org/10.1016/j.eneco.2022.105961.

4. Aye, G.C., T. Chang, and R. Gupta. 2016. Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. Resources Policy 48: 77–84. https://doi.org/10.1016/j.resourpol.2016.02.011.

5. Balcilar, M., D. Gabauer, and Z. Umar. 2021. Crude oil futures and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy 73: 102219. https://doi.org/10.1016/j.resourpol.2021.102219.

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