Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies
This paper examines the dynamic relationships and the volatility spillover effects among crude oil, gold, and Chinese electricity companies’ stock prices, from 2 December 2008 to 25 July 2022. By estimating the dynamic conditional correlation (DCC) model, we identify the time-varying correlation bet...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/4/910 |