Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models
Mohamed Fakhfekh and Ahmed Jeribi and Ahmed Ghorbel and Nejib Hachicha
| Year of publication: |
2023
|
|---|---|
| Authors: | Fakhfekh, Mohamed ; Jeribi, Ahmed ; Ghorbel, Ahmed ; Hachicha, Nejib |
| Subject: | Commodities | Cryptocurrencies | Hedging effectiveness | Multivariate GARCH models | Optimal hedge ratios | Stock market indices | VIX | Hedging | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Aktienmarkt | Stock market | Volatilität | Volatility | Welt | World |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/IJOEM-03-2020-0264 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014333595