Realizing correlations across asset classes
Niels S. Grønborg, Asger Lunde, Kasper V. Olesen, Harry Vander Elst
| Year of publication: |
2022
|
|---|---|
| Authors: | Grønborg, Niels S. ; Lunde, Asger ; Olesen, Kasper V. ; Vander Elst, Harry |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 59.2022, 1, p. 1-16
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| Subject: | Commodities | Futures markets | Portfolio selection | Realized beta GARCH | Portfolio-Management | Korrelation | Correlation | Betafaktor | Beta risk | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Theorie | Theory | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2022.100729 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015455829