Analyzing commodity futures and stock market indices : hedging strategies using asymmetric dynamic conditional correlation models
Saad Alshammari, Hassan Obeid
| Year of publication: |
2023
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|---|---|
| Authors: | Alshammari, Saad ; Obeid, Hassan |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 56.2023, p. 1-7
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| Subject: | Downside risk | Range-based dynamic conditional correlation | Transaction costs | Hedging | Korrelation | Correlation | Rohstoffderivat | Commodity derivative | Transaktionskosten | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104081 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014473654