Modelling co-movement and portfolio optimization of gold and global major currencies

• المؤلفون الرئيسيون: Methas Rattanasorn, Jianxu Liu, Jirakom Sirisrisakulchai, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Mathematics
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005952291&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/55577

© 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...