Optimal hedging strategy with futures oil markets via FIEGARCH copula model
Dhoifli Ifa and Ahmed Ghorbel
| Year of publication: |
2015
|
|---|---|
| Authors: | Ifa, Dhoifli ; Ghorbel, Ahmed |
| Published in: |
American journal of finance and accounting. - Genève : Inderscience Enterprises Ltd., ISSN 1752-7767, ZDB-ID 2449731-9. - Vol. 4.2015/2016, 2, p. 151-171
|
| Subject: | hedge against financial risks | future contract | hedge ratio | optimal hedging strategy | FIEGARCH | dynamic copula | Hedging | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Theorie | Theory | Futures | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Risikomanagement | Risk management | Spotmarkt | Spot market | Warenbörse | Commodity exchange | ARCH-Modell | ARCH model |
| 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/10011607085