Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness
The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to...
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Elsevier
2014-03-01
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| Col·lecció: | IIMB Management Review |
| Matèries: | |
| Accés en línia: | http://www.sciencedirect.com/science/article/pii/S0970389613001080 |
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