Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management
Ramzi Nekhili, Elie Bouri
| Year of publication: |
2023
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|---|---|
| Authors: | Nekhili, Ramzi ; Bouri, Elie |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 119.2023, p. 1-16
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| Subject: | Volatility | COVID-19 outbreak | Co-skewness and co-kurtosis | Crude oil and gold ETFs | Portfolio hedging and utility function | Spillovers in higher-order moments | US stock ETF | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | USA | United States | Volatilität | Indexderivat | Index derivative | Hedging | Risikomanagement | Risk management | Coronavirus |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2023.106596 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014285019