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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 crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
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Optimal formulations for nonlinear autoregressive processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood …
Persistent link: https://www.econbiz.de/10010390075
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Optimal Formulations for Nonlinear Autoregressive Processes
Blasques, Francisco - 2014
theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood …
Persistent link: https://www.econbiz.de/10013049359
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Discrete Fourier Transforms of Fractional Processes
Phillips, Peter C. B. - 2000
theory to log periodogram regression and local Whittle estimation of the memory parameter are discussed and some modified …
Persistent link: https://www.econbiz.de/10014164678
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Development of an efficient cluster-based portfolio optimization model under realistic market conditions
Massahi, Mahdi; Mahootchi, Masoud; Khamseh, Alireza Arshadi - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2423-2442
Persistent link: https://www.econbiz.de/10012315071
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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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A hybrid metaheuristic for the efficient solution of GARCH with trend models
Uribe, Lourdes; Perea, Benjamin; Hernández del Valle, … - In: Computational economics 52 (2018) 1, pp. 145-166
Persistent link: https://www.econbiz.de/10012052926
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Generalised Linear Spectral Models
Proietti, Tommaso - 2014
applied to the estimation of the inverse autocorrelation function and the related problem of selecting the optimal …
Persistent link: https://www.econbiz.de/10013062661