Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification
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DOI: 10.1007/s00181-017-1381-8
Abstract: This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence… read more here.
Keywords: diversification; dependence gold; gold; tail dependence ... See more keywords