Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
Walid Mensi, Shawkat Hammoudeh, Seong-Min Yoon
| Year of publication: |
March 2015
|
|---|---|
| Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Yoon, Seong-min |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 48.2015, p. 46-60
|
| Subject: | Petroleum markets | USD/euro exchange rate | Asymmetric volatility spillovers | Dynamic hedge ratios | Multivariate-DCC–EGARCH | Structural breaks | Volatilität | Volatility | Hedging | Strukturbruch | Structural break | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Ölpreis | Oil price | Ölmarkt | Oil market | Korrelation | Correlation | Schätzung | Estimation | Währungsderivat | Currency derivative | Spillover-Effekt | Spillover effect | Währungsrisiko | Exchange rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2014.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011533698