| 000 | 01007npc a2200157Ia 4500 | ||
|---|---|---|---|
| 008 | 140613s2014 xx 000 0 und d | ||
| 060 | _a332.6322 | ||
| 100 | _aKUMAR, DILIP | ||
| 245 |
_aReturn and volatility transmission between gold and stock sectors _bApplication of portfolio management and hedging effectiveness |
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| 260 | _c2014 | ||
| 300 | _a5-16 | ||
| 520 | _aThe paper investigates the first and second orders moment transmission between gold and Industrial sectors with an application of portfolio design and hedging effectiness using generalised VAR-ADCC-BVGRACH model. Our finding indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these period. | ||
| 653 | _aSTOCK MARKET | ||
| 773 |
_oP15411 _nM _927809 _011182 _tMANAGEMENT REVIEW |
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| 942 |
_2ddc _cARTCL |
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| 999 |
_c12620 _d12620 |
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