Essays about: "AG-DCC"

Found 1 essay containing the word AG-DCC.

  1. 1. Asymmetry in the dynamic conditional correlation of gold returns and stock returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kittiporn Sinsukthavorn; Haukur Alfredsson; [2014]
    Keywords : DCC; AG-DCC; dynamic conditional correlation; asymmetry; gold; mid-cap; small-cap; size; Business and Economics;

    Abstract : The purpose of this thesis is to explore the possibility of asymmetry in the dynamic conditional correlation of stock returns and gold returns. We hypothesize that this asymmetry might be different for large and small firms, as a result of size specific characteristics that may influence firm profitability and risk following negative market shocks. READ MORE