Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios
The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more e...
Main Authors: | , |
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Format: | Others |
Language: | English |
Published: |
Linköpings universitet, Nationalekonomi
2017
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Subjects: | |
Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139040 |