Hedging Benefit of Safe-Haven Gold in Terms of Co-skewness and Covariance in Stock Market
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-030-14815-7_15
Reference21 articles.
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3. Bollerslev, T.: Generalized autoregressive conditional heteroskedasticity. J. Econometrics 31(3), 307–327 (1986)
4. Capie, F., Mills, T.C., Wood, G.: Gold as a hedge against the dollar. J. Int. Financ. Markets Inst. Money 15(4), 343–352 (2005)
5. Chan, K., Yang, J., Zhou, Y.: Conditional co-skewness and safe-haven currencies: a regime switching approach. J. Empirical Finance 48, 58–80 (2018)
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