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المؤلفAl-Yahyaee K.H.
المؤلفMensi W.
المؤلفMaitra D.
المؤلفAl-Jarrah I.M.W.
تاريخ الإتاحة2020-04-01T06:54:49Z
تاريخ النشر2019
اسم المنشورResources Policy
المصدرScopus
المعرّف10.1016/j.resourpol.2019.101529
الرقم المعياري الدولي للكتاب3014207
معرّف المصادر الموحدhttp://dx.doi.org/10.1016/j.resourpol.2019.101529
معرّف المصادر الموحدhttp://hdl.handle.net/10576/13651
الملخصThis study examines the dependence structure among four major precious metal markets: gold, palladium, platinum, and silver. Using the novel Copula Quantile-on-Quantile Regression (C-QQR) approach of Sim (2016), we show that precious metals share a systemic relationship despite their different demand-supply interplays, applications, and the macroeconomic factors, which influence their values. Our results also suggest that correlations among markets do not remain constant over time. Furthermore, we identify the quantiles of returns for two metals where maximum benefits of negative correlations can be obtained to enhance portfolio diversification. This knowledge provides an opportunity for hedgers to decide when they should avoid going long or short on a particular metal. Finally, we find that our approach determines optimal portfolio weights that can reduce risk in metals markets more efficiently than traditional, conditional covariance-based approaches. - 2019
اللغةen
الناشرElsevier Ltd
الموضوعCopula quantile-on-quantile
Hedging
Precious metal markets
Tail dependence
العنوانPortfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach
النوعArticle
رقم المجلد64
dc.accessType Abstract Only


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