TY - JOUR
T1 - Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic
AU - Enilov, Martin
AU - Mensi, Walid
AU - Stankov, Petar
N1 - Publisher Copyright:
© 2022 Elsevier B.V.
PY - 2023/3
Y1 - 2023/3
N2 - This paper investigates the tail behavior patterns of commodity assets, the risk exposure of these assets, and how they rank given their safe haven properties. We use state-of-the-art dynamic generalized autoregressive score models to jointly estimate tail risk measures for ten commodity assets (aluminum, copper, crude oil, gasoline, gold, heating oil, lead, soybeans, tin, and wheat) over the period from September 14, 2011 to June 30, 2021. Our in-sample findings suggest that aluminum outperforms gold as a safe haven in both pre- and COVID-19 times. The out-of-sample results confirm that aluminum retains its leading role during the COVID-19 pandemic. These findings bear implications for constructing well-diversified portfolios which is vital for investors, portfolio managers, and financial advisors, and for policymakers to design policies that ensure financial stability during periods of market turmoil, such as the COVID-19 pandemic.
AB - This paper investigates the tail behavior patterns of commodity assets, the risk exposure of these assets, and how they rank given their safe haven properties. We use state-of-the-art dynamic generalized autoregressive score models to jointly estimate tail risk measures for ten commodity assets (aluminum, copper, crude oil, gasoline, gold, heating oil, lead, soybeans, tin, and wheat) over the period from September 14, 2011 to June 30, 2021. Our in-sample findings suggest that aluminum outperforms gold as a safe haven in both pre- and COVID-19 times. The out-of-sample results confirm that aluminum retains its leading role during the COVID-19 pandemic. These findings bear implications for constructing well-diversified portfolios which is vital for investors, portfolio managers, and financial advisors, and for policymakers to design policies that ensure financial stability during periods of market turmoil, such as the COVID-19 pandemic.
KW - Commodity forecasting
KW - Generalized autoregressive score
KW - Out-of-sample predictions
KW - Safe haven assets
KW - Tail risk
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U2 - 10.1016/j.jcomm.2022.100307
DO - 10.1016/j.jcomm.2022.100307
M3 - Article
AN - SCOPUS:85145326679
SN - 2405-8513
VL - 29
JO - Journal of Commodity Markets
JF - Journal of Commodity Markets
M1 - 100307
ER -