Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models
Mohamed Fakhfekh and Ahmed Jeribi and Ahmed Ghorbel and Nejib Hachicha
| Year of publication: |
2023
|
|---|---|
| Authors: | Fakhfekh, Mohamed ; Jeribi, Ahmed ; Ghorbel, Ahmed ; Hachicha, Nejib |
| Published in: |
International journal of emerging markets. - Bradford : Emerald, ISSN 1746-8817, ZDB-ID 2242085-X. - Vol. 18.2023, 4, p. 978-1006
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| Subject: | Commodities | Cryptocurrencies | Hedging effectiveness | Multivariate GARCH models | Optimal hedge ratios | Stock market indices | VIX | Hedging | ARCH-Modell | ARCH model | Volatilität | Volatility | Aktienmarkt | Stock market | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/IJOEM-03-2020-0264 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014333595