Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging
Year of publication: |
2022
|
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Authors: | Trabelsi, Nader ; Tiwari, Aviral Kumar ; Hammoudeh, Shawkat |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 62.2022, p. 1-35
|
Subject: | Cross-quantilogram | Dependence | Directional predictability | Energy market | Portfolio performance | Portfolio-Management | Portfolio selection | Hedging | Prognoseverfahren | Forecasting model | Energiemarkt | Spillover-Effekt | Spillover effect | Theorie | Theory | Volatilität | Volatility |
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