An analysis of diversification benefits of commodity futures using Markov regime-switching approach
Year of publication: |
2018
|
---|---|
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
|
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 | Hedging | Schätzung | Estimation | Diversifikation | Diversification | Portfolio-Management | Portfolio selection |
-
Could diamonds become an investor's best friend?
Auer, Benjamin R., (2014)
-
Hsu, Shu-Han, (2024)
-
Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh, (2020)
- More ...
-
An analysis of gold futures as an alternative asset : evidence from India
Jaiswal, Ritika, (2018)
-
Jaiswal, Ritika, (2020)
-
Jaiswal, Ritika, (2021)
- More ...