Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification
This article analyzes dynamics of relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak symmetric tail dependence between gold and sectorial stocks. Based on the efficient frontie...
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| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
Trường Đại học Kinh tế
2020
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| Subjects: | |
| Online Access: | http://repository.vnu.edu.vn/handle/VNU_123/97694 |
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| Institution: | Vietnam National University, Hanoi |
| Language: | English |