Dynamic Commodity Portfolio Management: A Regime-switching VAR Model
Author:
Affiliation:
1. Chitkara Business School, Chitkara University, Punjab, India.
2. Management Development Institute Gurgaon, Mehrauli Road, Sukhrali, Gurgaon, India.
Abstract
Publisher
SAGE Publications
Subject
Business and International Management
Link
http://journals.sagepub.com/doi/pdf/10.1177/0972150918811705
Reference41 articles.
1. No. 56988;Abdullah A. M.,2014
2. International Asset Allocation with Time-Varying Correlations
3. Spot Returns, Roll Yield, and Diversification with Commodity Futures
4. A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates
5. Investing for the Long Run when Returns Are Predictable
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