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Ethanol Hedging Strategies Using Dynamic Multivariate GARCH

Garcia, Sergio - 2016

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Persistent link: https://www.econbiz.de/10012979327

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

Persistent link: https://www.econbiz.de/10013113663

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

Forecasting tail risk measures for financial time series : an extreme value approach with covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50

Persistent link: https://www.econbiz.de/10014292519

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10013540629

Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Kočenda, Evžen; Moravcová, Michala - In: Journal of international financial markets, … 58 (2019), pp. 42-64

Persistent link: https://www.econbiz.de/10012127823

Endogenous exchange rate volatility, trading volume and interest rate differentials in a model of portfolio selection

Hagiwara, May; Herce, Miguel A. - In: Review of international economics 7 (1999) 2, pp. 202-218

Persistent link: https://www.econbiz.de/10001413521

Financial assets, expected return and risk, speculation, uncertainty, and exchange rate determination

Kallianiotis, Ioannis N.; Bianchi, Karen; Arize, … - In: European research studies 23 (2020) 3, pp. 3-30

Persistent link: https://www.econbiz.de/10012286910

Impact and hedging attribute of gold in the international financial market : with latest empirical approach and data

Qian, Xinyi - 2021

Persistent link: https://www.econbiz.de/10012807960