Risk management in oil market : a comparison between multivariate GARCH models and Copula-based models
Farkhondeh Jabalameli, Pouria Ghorbani, Majid Ahmadian
| Year of publication: |
2020
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|---|---|
| Authors: | Jabalameli, Farkhondeh ; Ghorbani, Pouria ; Ahmadian, Majid |
| Published in: |
Iranian economic review : journal of University of Tehran. - Teheran : Faculty of Economics, University of Tehran, ISSN 2588-6096, ZDB-ID 2627358-5. - Vol. 24.2020, 2, p. 489-513
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| Subject: | Asymmetric Dependence | Optimal Hedge Ratio | Copula-based Models | OPEC Oil | Hedging | Multivariate Analyse | Multivariate analysis | OPEC-Staaten | OPEC countries | Risikomanagement | Risk management | Volatilität | Volatility | Theorie | Theory | Ölpreis | Oil price | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution |
Open Access
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.22059/ier.2020.76015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012220873