Empirical analysis of oil risk-minimizing portfolios : the DCC-GARCH-MODWT approach
Dejan Zivkov, Jovan Njegic and Vladimir Zakic
| Year of publication: |
2020
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|---|---|
| Authors: | Zivkov, Dejan ; Njegic, Jovan ; Zakic, Vladimir |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 3, p. 65-91
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| Subject: | oil hedging | portfolio | risk-minimizing metrics | heterogeneous assets | wavelet | rolling DCC-GARCH model | Hedging | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Ölmarkt | Oil market | Theorie | Theory | Kapitaleinkommen | Capital income | Erdölindustrie | Oil industry |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.425 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177146