Modelling co-movement and portfolio optimization of gold and global major currencies
© Springer International Publishing AG 2016. This study aims to investigate the co-movement of gold and global major currencies. We propose several time-varying copula-based GARCH models to measure the co-movement of gold and exchange rate returns and construct the optimized portfolio under copula-b...
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| Main Authors: | , , , |
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| Format: | Book Series |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005952291&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42346 |
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| Institution: | Chiang Mai University |