Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Evžen Kočenda, Michala Moravcová
| Year of publication: |
2024
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|---|---|
| Authors: | Kočenda, Evžen ; Moravcová, Michala |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 2165501-7. - Vol. 69.2024, Art.-No. 102274, p. 1-23
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| Subject: | connectedness | distress | energy commodities | frequency decomposition | portfolio weights and hedge ratios | volatility spillovers | Volatilität | Volatility | Hedging | USA | United States | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative | Energiemarkt | Energy market | ARCH-Modell | ARCH model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2024.102274 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015052535