Dynamic conditional copula correlation and optimal hedge ratios with currency futures
Juha Kotkatvuori-Örnberg
| Year of publication: |
October 2016
|
|---|---|
| Authors: | Kotkatvuori-Örnberg, Juha |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 47.2016, p. 60-69
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| Subject: | Dynamic conditional correlation | Copula model | Futures hedge | Minimum variance | Hedging | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | ARCH-Modell | ARCH model | Währungsderivat | Currency derivative | Derivat | Derivative | Theorie | Theory | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2016.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011624046