Li, Binlin; Haneklaus, Nils; Rahman, Mohammad Mafzur - In: Financial innovation : FIN 10 (2024), pp. 1-30
This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purifed terephthalic acid), and soybean in China from January 09, 2008, to June 30, 2023. A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the...
