Optimal hedging strategy with futures oil markets via FIEGARCH copula model
Year of publication: |
2015
|
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Authors: | Ifa, Dhoifli ; Ghorbel, Ahmed |
Published in: |
American journal of finance and accounting. - Genève : Inderscience Enterprises Ltd., ISSN 1752-7767, ZDB-ID 2449731-9. - Vol. 4.2015/2016, 2, p. 151-171
|
Subject: | hedge against financial risks | future contract | hedge ratio | optimal hedging strategy | FIEGARCH | dynamic copula | Hedging | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Warenbörse | Commodity exchange |
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