Bahar-Azadi Gold Coin Hedging Strategies: A Comparison of ADCC, GO-GARCH and Copula-GARCH Approaches
In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010 to 21/7/2016. The empirical results show that...
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| Formato: | Artigo |
| Idioma: | Persa |
| Publicado: |
Allameh Tabataba'i University Press
2018-06-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
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| Acceso en liña: | https://ijer.atu.ac.ir/article_9124_f69fc77e1958f7ece878414c6a340cc0.pdf |
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