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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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Asset-liability management for pension funds in a time-varying volatility environment
Vrontos, Spyridon D.; Vrontos, Ioannis D.; … - In: The journal of asset management 14 (2013) 5, pp. 306-333
Persistent link: https://www.econbiz.de/10010237937
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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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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model
Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013538992
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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
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Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model
Hajizadeh, Ehsan - In: International journal of financial engineering 7 (2020) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012603039
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Optimization of arches using genetic algorithm
Tayşi, N.; Göğüş, M. T.; Özakça, M. - In: Computational optimization and applications : an … 41 (2008) 3, pp. 377-394
Persistent link: https://www.econbiz.de/10003783040
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Self-Adaptive Evolutionary Computation Methods for GARCH Model Optimization
Swain, Anjan Kumar - 2017
This paper deals with the parameter estimation of popular GARCH(1,1) model using an effective hybrid evolutionary computation (EC) based method. These parameters are estimated by maximizing the nonlinear log-likelihood function. Further, in this study, the effectiveness of the EC based methods...
Persistent link: https://www.econbiz.de/10012955482