Said, Amira; Ouerfelli, Chokri - In: The Journal of Risk Finance 25 (2024) 3, pp. 443-470
Purpose This paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional...