Dynamic correlations and volatility spillovers between crude oil and stock index returns : the implications for optimal portfolio construction
Yen-Hsien Lee; Ya-Ling Huang; Chun-Yu Wu
| Year of publication: |
2014
|
|---|---|
| Authors: | Lee, Yen-Hsien ; Huang, Ya-Ling ; Wu, Chun-Yu |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 4.2014, 3, p. 327-336
|
| Subject: | Crude oil | DCC model | Hedge effectiveness | Optimal portfolio | Volatilität | Volatility | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Hedging | Ölpreis | Oil price | Kapitaleinkommen | Capital income | Rohstoffderivat | Commodity derivative | Korrelation | Correlation | Theorie | Theory | Schätzung | Estimation | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011286211