An analysis of diversification benefits of commodity futures using Markov regime-switching approach
Ritika Jaiswal and Rashmi Uchil
| Year of publication: |
2018
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| Authors: | Jaiswal, Ritika ; Uchil, Rashmi |
| Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6447, ZDB-ID 2416800-2. - Vol. 8.2018, 1, p. 20-47
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| Subject: | commodity futures | hedge | Markov-switching | Markov-switching vector auto-regression | MS-VAR | nonlinear | regime-switching | diversification | safe haven | Markov-Kette | Markov chain | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Hedging | Diversifikation | Diversification | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
| 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/10011933965