The Conditional Dependence Structure between Precious Metals: A Copula-GARCH Approach
The aim of the paper is to analyse the conditional dependence structure between precious metal returns using a copula-DCC-GARCH approach. Conditional correlation matrices are used to identify the states of the precious metals market by assuming that a given state of the market corresponds to a typi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Krakow University of Economics
2015-11-01
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| Series: | Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie |
| Subjects: | |
| Online Access: | https://krem.uek.krakow.pl/index.php/krem/article/view/494 |