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A multivariate commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - 2007
Persistent link: https://www.econbiz.de/10003455322
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Dependence of stock and commodity futures markets in China : implications for portfolio investment
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - In: Emerging markets review 21 (2014), pp. 183-200
Persistent link: https://www.econbiz.de/10011304331
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Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
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Cross-commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - In: The journal of futures markets 29 (2009) 3, pp. 197-217
Persistent link: https://www.econbiz.de/10003831083
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Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
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Optimal hedging strategy with futures oil markets via FIEGARCH copula model
Ifa, Dhoifli; Ghorbel, Ahmed - In: American journal of finance and accounting 4 (2015/2016) 2, pp. 151-171
Persistent link: https://www.econbiz.de/10011607085
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Can investors of Chinese energy stocks benefit from diversification into commodity futures?
Wen, Xiaoqian; Nguyen, Duc Khuong - In: Economic modelling 66 (2017), pp. 184-200
Persistent link: https://www.econbiz.de/10011813713
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On the role of commodity futures in portfolio diversification
Hooi Hooi Lean; Nguyen, Duc Khuong; Sensoy, Ahmet; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2374-2394
Persistent link: https://www.econbiz.de/10014259167