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subject:"ARCH model"
~isPartOf:"The European journal of finance"
~subject:"Capital income"
~subject:"Portfolio selection"
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ARCH model
Capital income
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Commodity derivative
13
Rohstoffderivat
13
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5
Derivative
5
Volatility
4
Volatilität
4
ARCH-Modell
3
Börsenkurs
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Brio, Esther B. del
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1
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Kellard, Neil
1
McKenzie, Michael D.
1
Mora-Valencia, Andrés
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Perote, Javier
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The European journal of finance
Energy economics
105
The journal of futures markets
32
Economic modelling
26
International review of financial analysis
25
Finance research letters
22
Journal of banking & finance
20
Journal of commodity markets
18
Applied economics
16
The handbook of commodity investing
15
International review of economics & finance : IREF
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International Journal of Energy Economics and Policy : IJEEP
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Working paper / National Bureau of Economic Research, Inc.
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American journal of agricultural economics
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Annals of finance
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Cogent economics & finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of finance & economics : IJFE
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International journal of forecasting
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NBER Working Paper
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Quantitative finance
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Review of quantitative finance and accounting
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Afro-Asian Journal of Finance and Accounting : AAJFA
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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1
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:
2
Commodity futures returns : more memory than you might think!
Coakley, Jerry
;
Kellard, Neil
;
Wang, Jian
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1457-1483
Persistent link: https://www.econbiz.de/10011715477
Saved in:
3
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:
4
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
Saved in:
5
Basis variations and regime shifts in the oil futures market
Fong, Wai-mun
;
See, Kim Hock
- In:
The European journal of finance
9
(
2003
)
5
,
pp. 499-513
Persistent link: https://www.econbiz.de/10001885513
Saved in:
6
Power ARCH modelling of commodity futures data on the London metal exchange
McKenzie, Michael D.
(
contributor
)
- In:
The European journal of finance
7
(
2001
)
1
,
pp. 22-38
Persistent link: https://www.econbiz.de/10001542130
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