Study on the optimal hedging ratio of Shanghai crude oil futures based on Copula models
Xiaofei Wu, Hailong Miao, Shuzhen Zhu and Xin Li
| Year of publication: |
2022
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| Authors: | Wu, Xiaofei ; Miao, Hailong ; Zhu, Shuzhen ; Li, Xin |
| Published in: |
Asia-Pacific journal of accounting & economics : publication of the City University of Hong Kong and National Taiwan University. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 2164-2257, ZDB-ID 2659021-9. - Vol. 29.2022, 6, p. 1657-1670
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| Subject: | Copula model | INE crude oil futures | minimum variance | optimal hedging ratio | risk management | Hedging | Rohstoffderivat | Commodity derivative | Multivariate Verteilung | Multivariate distribution | Erdöl | Petroleum | Risikomanagement | Risk management | Derivat | Derivative | Shanghai | Portfolio-Management | Portfolio selection | Ölmarkt | Oil 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 |
| Other identifiers: | 10.1080/16081625.2020.1754251 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013415547