An empirical examination of correlation dynamics between commodity and equity derivative indices : evidence from India using DCC-GARCH models
Perumandla Swamy and Kurisetti Padma
| Year of publication: |
2020
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|---|---|
| Authors: | Swamy, Perumandla ; Padma, Kurisetti |
| Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6455, ZDB-ID 2408741-5. - Vol. 10.2020, 2, p. 207-234
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| Subject: | commodity derivative markets | equity market | DCC-GARCH | time-varying co-movements | diversifying portfolio | volatility | emerging markets | Volatilität | Volatility | Indien | India | Korrelation | Correlation | Rohstoffderivat | Commodity derivative | Aktienmarkt | Stock market | Schwellenländer | Emerging economies | ARCH-Modell | ARCH model | Derivat | Derivative | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/AAJFA.2020.106259 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012222641