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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324
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Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 33 (2011) 5, pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …
Persistent link: https://www.econbiz.de/10013149486
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy economics 36 (2013), pp. 526-535
Persistent link: https://www.econbiz.de/10009724647
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …
Persistent link: https://www.econbiz.de/10011906234
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A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
Allen, David E. - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...
Persistent link: https://www.econbiz.de/10012978244
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A multi-criteria portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2016
Persistent link: https://www.econbiz.de/10011631787
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A multi-criteria portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2017
, risk and dispersion of risk objectives in a Multi-Criteria Optimisation (MCO) portfolio analysis. We vary the MCO return … and risk targets and contrast the results with four more standard portfolio optimisation criteria, namely the tangency …
Persistent link: https://www.econbiz.de/10011587620
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A multi-criteria financial and energy portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2018
Persistent link: https://www.econbiz.de/10011868783