Analyzing Safe Haven and Hedge Currencies Against the U.S. Stock Market During the COVID-19 Pandemic Crisis
The recent COVID-19 pandemic crisis has resulted in great uncertainty and potential losses to the financial market. Investors must find the safe haven and hedge currencies in the current crisis to manage portfolios. In this paper, I demonstrate how to use the dynamic conditional correlations (DCC) model with student-t error distribution to assess the role of foreign exchange, cryptocurrencies, and