Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War
Ghulame Rubbaniy,
Ali Awais Khalid,
Konstantinos Syriopoulos
et al.
Abstract:We apply a Time‐Varying Parameter Vector Auto Regressive (TVP‐VAR) connectedness approach on global assets to investigate time‐varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID‐19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID‐19 and the Russia–Ukraine war and that cumulative returns of portfolio… Show more
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