Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods

This study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements. The study uses daily return series of four gold stocks and thr...

Full description

Bibliographic Details

Published in:	Cogent Economics & Finance
Main Authors:	Hamdan Bukenya Ntare, John Weirstrass Muteba Mwamba, Franck Adekambi
Format:	Article
Language:	English
Published:	Taylor & Francis Group 2024-12-01
Subjects:	t-copula-DCC-GJR-GARCH-skew-t R-vine copula dynamic hedge ratios dynamic portfolio weights C13•C51•C58•G11 Economics
Online Access:	https://www.tandfonline.com/doi/10.1080/23322039.2024.2382375