... economies. Besides, current research contributes to the escalating literature on risk-managed momentum by suggesting a novel revised time-series momentum approach. Time-series momentum Risk-managed time-series momentum Indian stock market G12 G13 Return predictability has remained a core...

... Gold markets Equity markets US financial crises Chinese equity market crash G10 G13 To estimate return and volatility spillover through the VAR-BEKK-GARCH model, the empirical method consists of two parts. In the first part, we use vector autoregression (VAR) for the estimations...