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- W2364771610 abstract "By constructing a VAR-DCC-MVGARCH model,this paper studies relationships and hedging strategies between spot and futures returns from 2008 to 2011 in Chinese gold markets.The research has useful information for formulating portfolio hedging,regulating markets and controlling risk.Results indicate that there only exists unidirection impact from spot to futures returns,and volatilities of returns exhibit have not only time-varying features but also highly positive correlation.Finally,the model is shown to produce more efficient hedging strategies。" @default.
- W2364771610 created "2016-06-24" @default.
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- W2364771610 date "2012-01-01" @default.
- W2364771610 modified "2023-09-23" @default.
- W2364771610 title "Relationship and Portfolio Hedging between Spot and Futures Returns:Evidence from Chinese Gold Markets" @default.
- W2364771610 hasPublicationYear "2012" @default.
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