Hedging petroleum futures with multivariate GARCH models
Year of publication: |
2015
|
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Authors: | Tanattrin Bunnag |
Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 5.2015, 1, p. 105-120
|
Subject: | The petroleum futures volatility | comovements and spillovers | multivariate GARCH models | optimal portfolio weights | hedging ratios | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Theorie | Theory | Rohstoffderivat | Commodity derivative | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | Multivariate Analyse | Multivariate analysis |
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