Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification
Aviral Kumar Tiwari, Emmanuel Joel Aikins Abakah, Nana Kwasi Karikari, Shawkat Hammoudeh
| Year of publication: |
2022
|
|---|---|
| Authors: | Tiwari, Aviral Kumar ; Abakah, Emmanuel Joel Aikins ; Karikari, Nana Kwasi ; Hammoudeh, Shawkat |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 108.2022, p. 1-30
|
| Subject: | Hedging effectiveness | Markov-switching copula | Oil, cocoa, and natural gas, sector stocks | Portfolio management | Portfolio-Management | Portfolio selection | Hedging | Australien | Australia | Volatilität | Volatility | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Welt | World | Gaswirtschaft | Gas industry | Erdgas | Natural gas | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.105891 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013203257