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Commodity procurement with operational and financial instruments

Arnold, Jan - 2009

Persistent link: https://www.econbiz.de/10003886525

Commodity Procurement with Operational and Financial Instruments

Arnold, Jan - 2010

The recent economic developments have strongly increased the interest in altering raw material prices and especially in the protection from volatile and increasing prices. Jan Arnold integrates financial and operational aspects into a holistic approach to commodity procurement. He shows how to...

Persistent link: https://www.econbiz.de/10013521344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987324

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

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

Persistent link: https://www.econbiz.de/10013149486