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subject:"ARCH model"
~isPartOf:"The European journal of finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Portfolio selection"
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ARCH model
Portfolio selection
Commodity derivative
31
Rohstoffderivat
31
Volatility
14
Volatilität
14
Estimation
10
Oil price
10
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Jiang, Yong
2
Lin, Ling
2
Al-Jarrah, Idries Mohammad Wanas
1
Al-Yahyaee, Khamis Hamed
1
Auer, Benjamin R.
1
Brio, Esther B. del
1
Chan, Kam C.
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Chan, Leo H.
1
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1
Chen, Fei
1
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1
Degenhardt, Thomas
1
Fong, Wai-mun
1
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1
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1
Kuang, Yuanpei
1
McAleer, Michael
1
McKenzie, Michael D.
1
Mensi, Walid
1
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1
Mora-Valencia, Andrés
1
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1
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1
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1
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1
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The European journal of finance
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
95
International review of financial analysis
22
The journal of futures markets
22
Economic modelling
20
Finance research letters
16
Applied economics
14
Journal of commodity markets
14
International review of economics & finance : IREF
12
Journal of banking & finance
11
Working paper
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Econometric Institute research papers
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International Journal of Energy Economics and Policy : IJEEP
10
The handbook of commodity investing
9
Journal of international financial markets, institutions & money
8
Applied economics letters
7
Research in international business and finance
7
The energy journal
7
Journal of empirical finance
5
The journal of alternative investments
5
American journal of agricultural economics
4
Annals of finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
International journal of finance & economics : IJFE
4
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Review of quantitative finance and accounting
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Afro-Asian Journal of Finance and Accounting : AAJFA
3
Chemnitz economic papers
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Cogent economics & finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Finance India : the quarterly journal of Indian Institute of Finance
3
Financial innovation : FIN
3
Global business review
3
Global finance journal
3
International journal of bonds and derivatives
3
International journal of forecasting
3
Journal of agricultural and resource economics : JARE ; the journal of the Western Agricultural Economics Association
3
Journal of forecasting
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
12
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1
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
2
Forecasting oil futures market volatility in a financialized world : why speculative activities matter
Chan, Kam C.
;
Chan, Leo H.
;
Nguyen, Chi M.
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012667181
Saved in:
3
Picking winners to pick your winners : The momentum effect in commodity risk factors
Zaremba, Adam
;
Mikutowski, Mateusz
;
Karathanasopoulos, …
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012203145
Saved in:
4
Assessing risk contagion among the Brent crude oil market, London gold market and stock markets : Evidence based on a new wavelet decomposition approach
Lin, Ling
;
Kuang, Yuanpei
;
Jiang, Yong
;
Su, Xianfang
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012203817
Saved in:
5
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
Saved in:
6
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
The European journal of finance
25
(
2019
)
17
,
pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
Saved in:
7
The "Sell in May" effect : a review and new empirical evidence
Degenhardt, Thomas
;
Auer, Benjamin R.
- In:
The North American journal of economics and finance : a …
43
(
2018
),
pp. 169-205
Persistent link: https://www.econbiz.de/10012036281
Saved in:
8
Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Zhang, Yuanyuan
;
Choudhry, Taufiq
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 376-399
Persistent link: https://www.econbiz.de/10010528976
Saved in:
9
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
10
Better cross hedges with composite hedging? : hedging equity portfolios using financial and commodity futures
Chen, Fei
;
Sutcliffe, Charles M. S.
- In:
The European journal of finance
18
(
2012
)
5/6
,
pp. 575-595
Persistent link: https://www.econbiz.de/10009615711
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