Shen, Xi; Chokethaworn, Kanchana; Chaiboonsri, Chukiat - In: The Empirical Econometrics and Quantitative Economics … 2 (2013) 4, pp. 53-53
This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were...