A copula-based quantile risk measure approach to estimate the optimal hedge ratio
Massimiliano Barbi and Silvia Romagnoli
| Year of publication: |
2014
|
|---|---|
| Authors: | Barbi, Massimiliano ; Romagnoli, Silvia |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 34.2014, 7, p. 658-675
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| Subject: | Euro | US-Dollar | US dollar | Pfund Sterling | Pound Sterling | Wechselkurs | Exchange rate | Hedging | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010507942