Market volatility and the dynamic hedging of multi-commodity price risk
Gabriel J. Power, Dmitry V. Vedenov, David P. Anderson and Steven Klose
| Year of publication: |
2013
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|---|---|
| Authors: | Power, Gabriel J. ; Vedenov, Dmitry V. ; Anderson, David P. ; Klose, Steven L. |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 45.2013, 25/27, p. 3891-3903
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| Subject: | copula | dynamic hedging | feedlot | hedge ratios | multivariate GARCH | price risk | Hedging | ARCH-Modell | ARCH model | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory |
| 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/10010345840