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- W2898069810 abstract "We study the dynamic relationship between the global oil market and China's commodity market at the industry level by using a DCC-GJR-GARCH model. Results of this study reveal strong return spillovers and the long-term time-varying linkages in volatility between the global oil market and China's commodity sectors. We find evidence that the diversified portfolios can help us reduce risks effectively, and the performances of portfolio diversification strategies vary across different time periods. Our empirical results highlight that the oil-commodity sectors nexus can help investors minimize risks to build optimal portfolios." @default.
- W2898069810 created "2018-10-26" @default.
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- W2898069810 date "2019-01-01" @default.
- W2898069810 modified "2023-10-14" @default.
- W2898069810 title "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses" @default.
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- W2898069810 doi "https://doi.org/10.1016/j.energy.2018.10.116" @default.
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