Crude oil hedging strategies using dynamic multivariate GARCH
Chia-Lin Chang; Michael McAleer; Roengchai Tansuchat
| Year of publication: |
2011
|
|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael ; Roengchai Tansuchat |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 33.2011, 5, p. 912-923
|
| Subject: | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Volatilität | Volatility | Kapitaleinkommen | Capital income | Mathematische Optimierung | Mathematical programming | Hedging | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009382992