Hedging petroleum futures with multivariate GARCH models
Tanattrin Bunnag
| Year of publication: |
2015
|
|---|---|
| Authors: | Tanattrin Bunnag |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 5.2015, 1, p. 105-120
|
| Subject: | The petroleum futures volatility | comovements and spillovers | multivariate GARCH models | optimal portfolio weights | hedging ratios | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | Theorie | Theory | Erdöl | Petroleum | Ölmarkt | Oil market |
| 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/10011287161