Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach

• Nida Siddiqui,

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Validation, Visualization, Writing – original draft

  Affiliations Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Dubai, United Arab Emirates, Department of Mathematics, University of Sharjah, Sharjah, United Arab Emirates

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• Haslifah Mohamad Hasim

  Roles Conceptualization, Methodology, Project administration, Supervision, Visualization, Writing – review & editing

  * E-mail: h.hasim@hw.ac.uk

  Affiliation Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Dubai, United Arab Emirates

  https://orcid.org/0000-0003-4321-8803

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