Effects of price of gold on Bombay stock exchange sectoral indices : new evidence for portfolio risk management
Year of publication: |
2021
|
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Authors: | Trabelsi, Nader ; Gozgor, Giray ; Tiwari, Aviral Kumar ; Hammoudeh, Shawkat |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 55.2021, p. 1-24
|
Subject: | multiple GARCH models | nonlinear causality test | Price of gold | quantile coherence analysis | robust portfolio problems | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Gold | Risikomanagement | Risk management | Kausalanalyse | Causality analysis | Risikomaß | Risk measure |
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