El Hedi Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic Modelling 44 (2015) C, pp. 273-282
This article uses the VAR–GARCH framework of Ling and McAleer (2003) to explore both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. It further analyzes the optimal weights and hedge ratios for...