Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat, Chia-Lin Chang, and Michael McAleer
| Year of publication: |
2010
|
|---|---|
| Authors: | Roengchai Tansuchat ; Chang, Chia-Lin ; McAleer, Michael |
| Publisher: |
Christchurch : Dep. of Economics and Finance, College of Business and Economics, Univ. of Canterbury |
| Subject: | GARCH (BEEK,DDC) | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Volatilität | Volatility | Kapitaleinkommen | Capital income | Mathematische Optimierung | Mathematical programming | Hedging | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Extent: | Online-Ressource (26, [1], 4 S., 650 Kb) graph. Darst. |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2010,3 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008669351