Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Year of publication: |
2020
|
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Authors: | Robiyanto, Robiyanto ; Nugroho, Bayu Adi ; Handriani, Eka ; Huruta, Andrian Dolfriandra |
Published in: |
Financial Innovation. - Heidelberg : Springer, ISSN 2199-4730. - Vol. 6.2020, 1, p. 1-29
|
Publisher: |
Heidelberg : Springer |
Subject: | DCC-GARCH | Gold | Minimum variance | Oil | Portfolio insurance |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1186/s40854-020-00199-w [DOI] 1745532110 [GVK] hdl:10419/237233 [Handle] |
Classification: | C22 - Time-Series Models ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing ; q02 |
Source: |
-
Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto, (2020)
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The Risk of Skewness and Kurtosis in Oil Market and the Cross-Section of Stock Returns
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Levine, Ari, (2017)
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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
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Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio's perspective
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