Correlation asymmetry and implication on hedging
Year of publication: |
2017
|
---|---|
Authors: | Trabelsi, Abdelwahed ; Ennabli, Asma |
Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 6.2017, 1, p. 30-56
|
Subject: | correlation | multivariate GARCH | asymmetry | derivatives | currency spot and futures returns | hedging effectiveness | hedging strategies | futures hedging | cross hedging | Hedging | Derivat | Derivative | ARCH-Modell | ARCH model | Korrelation | Correlation | Währungsderivat | Currency derivative | Rohstoffderivat | Commodity derivative | Futures | Volatilität | Volatility |
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