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The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets
16 references·2 citing·38 second hop
The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets (2017)The Volatility–Variability Hypotheses Tes…Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Is gold the best hedge and a …How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Do Precious Metals Shine? An Investment Perspective (2006)Do Precious Metals Shine? An …The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…COMPONENTS OF INVESTMENT PERFORMANCE* (1972)COMPONENTS OF INVESTMENT PERF…Components of Investment Performance (1972)Components of Investment Perf…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…FACTORS INFLUENCING INCOME SMOOTHING PRACTICE IN THE OIL AND NATURAL GAS MINING COMPANIES DURING 2012-2016 PERIOD (2020)FACTORS INFLUENCING INCOME SM…FACTORS AFFECTING RETURN ON DEPOSIT (ROD) OF SHARIA BANKS IN INDONESIA (2018)FACTORS AFFECTING RETURN ON D…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On estimating the expected return on the market (1980)The Econometrics of Financial Markets (1997)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Robust performance hypothesis testing with the Sharpe ratio (2008)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Econometrics of Financial Markets (2012)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Rational contagion and the globalization of securities markets (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The capital asset pricing model: Some empirical tests (1972)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Efficient Capital Markets: II (1991)Inefficient Markets (2000)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
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References

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  • 2002Dynamic Conditional Correlation7,229 cited
  • 1966Mutual Fund Performance4,089 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,529 cited
  • 2002The Statistics of Sharpe Ratios856 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
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  • 1972COMPONENTS OF INVESTMENT PERFORMANCE*545 cited
  • 2006Do Precious Metals Shine? An Investment Perspective479 cited
  • 2013Is gold the best hedge and a safe haven under changing stock market volatility?396 cited
  • 1972Components of Investment Performance365 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures

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Cited by

  • 2018FACTORS AFFECTING RETURN ON DEPOSIT (ROD) OF SHARIA BANKS IN INDONESIA11 cited
  • 2020FACTORS INFLUENCING INCOME SMOOTHING PRACTICE IN THE OIL AND NATURAL GAS MINING COMPANIES DURING 2012-2016 PERIOD11 cited