Hedging Effectiveness of Commodities in the Stock Portfolio: Empirical Evidence from Pakistan Stock Exchange using Multivariate GARCH Models
نویسندگان
چکیده
منابع مشابه
portfolio optimization using multivariate garch models: evidence from tehran stock exchange
in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...
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this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. One of the methods to study the designed causal relationshipsobjectively is Granger causality test. This paper aims to investigate the longtermcausal relationship between the stock price and dividends. The statisticalpopulation includes 180 active companies in Stock Exchange of Tehran ...
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ژورنال
عنوان ژورنال: South Asian Journal of Management Sciences
سال: 2017
ISSN: 2074-2967,2410-8537
DOI: 10.21621/sajms.2017112.05