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Keywords: Multivariate GARCH models
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Journal Articles
International Journal of Emerging Markets (2023) 18 (4): 978–1006.
Published: 01 June 2021
..., it investigates the relevant optimal hedging strategy. Design/methodology/approach Empirically, the authors examine how WTI, Gold, VIX and five cryptocurrencies can be applicable to hedge the four stock markets. Three variants of multivariate GARCH models (DCC, ADCC and GO-GARCH) are implemented to estimate...
