Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models
Christian L. Dunis, Jason Laws, Peter W. Middleton and Andreas Karathanasopoulos
| Year of publication: |
2015
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|---|---|
| Authors: | Dunis, Christian ; Laws, Jason ; Middleton, Peter W. ; Karathanasopoulos, Andreas |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 4/6, p. 352-375
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| Subject: | spread trading | corn futures | ethanol futures | time-varying leverage | RiskMetrics | leveraging | multilayer perceptron neural network | higher order neural network | genetic programming algorithm | Neuronale Netze | Neural networks | Hedging | Derivat | Derivative | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Kapitalstruktur | Capital structure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010528977