Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages
The present paper studies stock-commodity markets linkage using var-garch approach for the period spanning from January 3, 2000 to March 12, 2014. The analysis has been performed through three competing specifications; the var-ccc-garch, the var-bekk-garch, and the var-dcc-garch, ignoring and accou...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2016-01-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/1512 |