Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
Ahmed Ghorbel; Abdelwahed Trabelsi
| Year of publication: |
2012
|
|---|---|
| Authors: | Ghorbel, Ahmed ; Trabelsi, Abdelwahed |
| Published in: |
International journal of managerial and financial accounting. - Olney, Bucks. : Inderscience Publ., ISSN 1753-6715, ZDB-ID 2458817-9. - Vol. 4.2012, 1, p. 1-28
|
| Subject: | Futures | Spotmarkt | Spot market | Ölmarkt | Oil market | Hedging | Strategie | Strategy | Volatilität | Volatility | Ausreißer | Outliers | ARCH-Modell | ARCH model | Pareto-Optimum | Pareto efficiency | Multivariate Verteilung | Multivariate distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009500227