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Keywords: Dynamic conditional correlations
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2024) 25 (3): 443–470.
Published: 22 March 2024
...Amira Said; Chokri Ouerfelli Purpose This paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized...
