Dependence between oil price volatility, Islamic and conventional Dow Jones indexes : implication for portfolio management and hedging effectiveness
Mohamed Fakhfekh, Ahmed Ghorbel, Nadhem Selmi, Nejib Hachicha
| Year of publication: |
January 2017
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|---|---|
| Authors: | Fakhfekh, Mohamed ; Ghorbel, Ahmed ; Selmi, Nadhem ; Hachicha, Nejib |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 18.2017, 1, p. 29-48
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| Subject: | extreme dependence structure | copula approach | hedge ratio | crude oil | Dow Jones Isamic and conventional indexes | Hedging | Portfolio-Management | Portfolio selection | Aktienindex | Stock index | Volatilität | Volatility | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Welt | World | Erdöl | Petroleum |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-016-0030-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592759