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...
Saved in:
| Main Authors: | , , , |
|---|---|
| 格式: | Book Series |
| 出版: |
2018
|
| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005952291&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55577 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Chiang Mai University |