Article ID Journal Published Year Pages File Type
5083851 International Review of Economics & Finance 2013 9 Pages PDF
Abstract
► Paper employs univariate and bivariate GARCH models with breaks on recent data. ► Paper finds strong evidence of transmission of volatility between gold and oil returns. ► Optimal portfolio weights and dynamic risk minimizing hedge ratios are computed. ► Findings support the idea of cross-market hedging and sharing of common information.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Volatility transmission between gold and oil futures under structural breaks
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