Instabilities in the relationships and hedging strategies between crude oil and US stock markets : do long memory and asymmetry matter?
Walid Chkili; Chaker Aloui; Duc Khuong Nguyen
| Year of publication: |
2014
|
|---|---|
| Authors: | Chkili, Walid ; Aloui, Chaker ; Nguyen, Duc Khuong |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 33.2014, p. 354-366
|
| Subject: | Asymmetric volatility | Long memory | Crude oil | Stock returns | Hedging strategy | Volatilität | Volatility | Hedging | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | USA | United States | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Schätzung | Estimation | Rohstoffderivat | Commodity derivative | Börsenkurs | Share price |
| 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/10011299818