Risk transmission between natural gas market and stock markets : portfolio and hedging strategy analysis
Year of publication: |
2019
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Authors: | Lin, Ling ; Zhou, Zhongbao ; Liu, Qing ; Jiang, Yong |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 245-254
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Subject: | Risk transmission | Hedging strategy | Regime switching | Long memory and asymmetry GARCH | Natural gas market | Chinese and America stock markets | Erdgasmarkt | Hedging | Aktienmarkt | Stock market | Portfolio-Management | Portfolio selection | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Schätzung | Estimation | Risiko | Risk |
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