Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
Jose Arreola Hernandez, Mazin A M Al Janabi, Shawkat Hammoudeh, Duc Khuong Nguyen
| Year of publication: |
December 2015
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|---|---|
| Authors: | Hernandez, Jose Arreola ; Al Janabi, Mazin A. M. ; Hammoudeh, Shawkat ; Nguyen, Duc Khuong |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 16.2015, 7, p. 467-483
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| Subject: | stock returns | cross-correlation | dependence | value-at-risk | Sharpe ratio | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Lag-Modell | Lag model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/jam.2015.33 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011455734